Lecture Notes on F.

Rieszs Approach to
the Lebesgue Integral
Douglas S. Bridges
Department of Mathematics & Statistics,
University of Canterbury,
Private Bag 4800,
Christchurch, New Zealand.
January 12, 2006

c Douglas S. Bridges 120106

1
Preface
In the following, I introduce the Lebesgue integral on the real line R using
the method of F. Riesz. Working with increasing sequences of step functions
whose integrals are uniformly bounded above, this method, which is essentially a
special case of the Daniell approach to abstract integration, avoids the somewhat
tedious technical detail about measures that is required in the standard measure-
theoretic introductions to the Lebesgue integral, and thereby enables us rapidly
to reach the key results about convergence of sequences and series of integrable
functions.
The later sections of the notes contain material about the spaces Lp (R) of
ppower integrable functions on R; a development of the Lebesgue double inte-
gral, including Fubinis theorem about the equivalence of double and repeated
integrals; and a discussion of topics in advanced dierentiation theory, such
as Fubinis series theorem and the Lebesgue-integral form of the fundamental
theorem of calculus.

Acknowledgement. These notes arose from material prepared by F.F. Bonsall

and presented by J.C. Alexander to an honours course at the University of
Edinburgh in 1967. I am grateful to those two gentlemen for inspiring my
interest in Rieszs work on the Lebesgue integral.

2
1 Compactness
Many results in real-variable theory depend on two fundamental properties of
the real line described in this introductory section.
By[a cover of a subset S of R we mean a family U of subsets of R such that
S U; we then say that S is covered by U and that U covers S: If also
each U 2 U is an open subset of R, we refer to U as an open cover of S (in
R). By a subcover of a cover U of S we mean a family F U that covers S;
if also F is a nite family, then it is called a nite subcover of U.
Although there exist shorter proofs of the next theorem (see the next set
of exercises), the one we present is readily adapted to work in a more general
context.

Theorem 1 The HeineBorelLebesgue theorem. Every open cover of

a bounded closed interval I in R contains a nite subcover of I:

Proof. Suppose there exists an open cover U of I that contains no nite

subcover of I. Either the closed right half of I or the closed left half (or both)
cannot be covered by a nite subfamily of U: otherwise each half, and therefore
I itself, would be covered by a nite subfamily. Let I1 be a closed half of I that
is not covered by a nite subfamily of U. In turn, at least one closed half, say
I2 , of I1 cannot be covered by a nite subfamily of U: Carrying on in this way,
we construct a nested sequence I I1 I2 of closed subintervals of I
such that for each n;
n
(a) jIn j = 2 jIj and
(b) no nite subfamily of U covers In .
\
By the nested intervals principle, there exists a point 2 In . Clearly 2 I,
n>1
so there exists U 2 U such that 2 U . Since U is open, there exists r > 0 such
that if jx j < r, then x 2 U . Using (a), we can nd N such that if x 2 IN ;
then jx j < r and therefore x 2 U ; thus IN U . This contradicts (b).

We follow tradition by referring to a bounded closed interval as a compact

interval.
A real number a is called a limit point of a subset S of R if each neigh-
bourhood of a intersects Snfag; or, equivalently, if for each " > 0 there exists
x 2 S with 0 < jx aj < ": By a limit point of a sequence (an ) we mean a
limit point of the set fa1 ; a2 ; : : :g of terms of the sequence.
A nonempty subset A of R is said to have the BolzanoWeierstrasz prop-
erty if each innite subset S of A has a limit point belonging to A:

Theorem 2 The BolzanoWeierstrasz theorem. Every compact interval

in R has the BolzanoWeierstrasz property.

3
 Proof. See Exercise (1.1, 2) below.

Exercises (1.1)

.1 Fill in the details of the following alternative proof of the HeineBorel

Lebesgue theorem. Let U be an open cover of the compact interval I =
[a; b]; and dene

A = fx 2 I : [a; x] is covered by nitely many elements of Ug :

Then A is nonempty (it contains a) and is bounded above; let = sup A:

Suppose that 6= b; and derive a contradiction.
.2 Fill in the details of the following proof of the BolzanoWeierstrasz the-
orem. Given a compact interval I; construct a nested sequence I I1
I2 of closed subintervals of I such that for each n;
n
(a) jIn j = 2 jIj, and
(b) S \ In is an innite set.
\
Let 2 In ; and show that is a limit point of S: (This is one of the
n>1
commonest proofs of the BolzanoWeierstrasz theorem in textbooks.)
.3 Here is a sketch of another proof of the BolzanoWeierstrasz theorem for
you to complete. Let I be a compact interval, and S an innite subset of
I; then the supremum of the set

A = fx 2 I : S \ ( 1; x) is nite or emptyg

is a limit point of S in I:
.4 Let S be a subset of R with the BolzanoWeierstrasz property, and let
(xn )n>1 be a sequence of points of S: Prove that there exists a subsequence
of (xn ) that converges to a limit in S:
.5 Let S be a subset of R with the BolzanoWeierstrasz property. Prove that
S is closed and bounded. (For boundedness, use a proof by contradiction.)
.6 Show that the BolzanoWeierstrasz theorem can be proved as a conse-
quence of the HeineBorelLebesgue theorem. (Let I be a compact inter-
val in R; and suppose that there exists an innite subset S of I that has
no limit point in I: First show that for each s 2 S there exists rs > 0 such
that S \ (s rs ; s + rs ) = fsg.)
.7 Let f be a real-valued function dened on an interval I. We say that f
is uniformly continuous on I if to each " > 0 there corresponds > 0
such that jf (x) f (x0 )j < " whenever x; x0 2 I and jx x0 j < : Show
that a uniformly continuous function is continuous. Give an example of I
and f such that f is continuous, but not uniformly continuous, on I:

4
 .8 Use the HeineBorelLebesgue theorem to prove the uniform continuity
theorem: a continuous real-valued function f on a compact interval I
R is uniformly continuous. (For each " > 0 and each x 2 I; choose x > 0
such that if x0 2 I and jx x0 j < 2 x ; then jf (x) f (x0 )j < "=2: The
intervals (x x ; x + x ) form an open cover of I:)

.9 Prove the uniform continuity theorem (see the previous exercise) using the
BolzanoWeierstrasz theorem. (If f : I ! R is not uniformly continuous,
then there exists > 0 with the following property: for each n 2 N+ there
exist xn ; yn 2 I such that jxn yn j < 1=n and jf (xn ) f (yn )j > :)

The proof of the following result about boundedness of real-valued functions

illustrates well the application of the HeineBorelLebesgue theorem.

Theorem 3 A continuous real-valued function f on a compact interval I is

bounded; moreover, f attains its bounds in the sense that there exist points
; of I such that f ( ) = inf f and f ( ) = sup f:

Proof. For each x 2 I choose x > 0 such that if x0 2 I and jx x0 j < x ;

then jf (x) f (x0 )j < 1: The intervals (x x ; x + x ); where x 2 I; form an
open cover of I: By Theorem 1, there exist nitely many points x1 ; : : : ; xN of I
such that
N
[
I (xk xk ; xk + xk ) :
k=1

Let
c = 1 + max fjf (x1 )j ; : : : ; jf (xN )jg ;
and consider any point x 2 I: Choosing k such that x 2 (xk xk ; xk + xk ); we
have

jf (x)j 6 jf (x) f (xk )j + jf (xk )j

< 1 + jf (xk )j
6 c;

so f is bounded on I:
Now write
m = inf f; M = sup f:
Suppose that f (x) 6= M; and therefore f (x) < M; for all x 2 I: Then x
1=(M f (x)) is a continuous mapping of I into R+ ; and so, by the rst part of
this proof, has a supremum G > 0: For each x 2 I we then have M f (x) >
1=G and therefore f (x) 6 M 1=G: This contradicts our choice of M as the
supremum of f:

5
Exercises (1.2)

.1 Prove both parts of Theorem 3 using the BolzanoWeierstrasz theorem

and contradiction arguments.
.2 Let f be a continuous function on R such that f (x) ! 1 as x ! 1:
Prove that there exists 2 R such that f (x) > f ( ) for all x 2 R:
.3 Let f be a continuous function on R such that f (x) ! 0 as x ! 1:
Prove that f is both bounded and uniformly continuous.

Theorems 1, 2, and 3 apply also to sets of the form I J R2 where I; J

are compact intervals in R: every open cover of I J contains a nite subcover;
I J has the BolzanoWeierstrasz property; and every continuous function
f : I J ! R is bounded and attains its bounds.

2 The Lebesgue Integral

By a step function we mean a function f : R!R with the following property:
there exist nitely many points x0 < x1 < < xn and nitely many real
numbers c0 ; : : : ; cn 1 such that

B f (x) = 0 for all x < x0 and for all x > xn ;

B f (x) = ck for each k and all x 2 (xk ; xk+1 ) :

Note that the value of f at xk is not constrained in any way. The integral of
this step function is dened to be
Z n
X1
f= ck jIk j ;
k=0

where jIk j = xk+1 xk denotes the length of the interval (xk ; xk+1 ) :

Proposition 4 Let f and g be two

R stepR functions such that f (x) = g(x) for all
but nitely many points x: Then f = g:

The proof is left as an exercise. It follows from this proposition that the
integral of a step function is well dened, in that its value does not depend on
the choice of the nitely many points xk that are the endpoints of intervals on
which the function is constant.

Proposition 5 Let f and g be step functions, and let ; 2 R: Then f + g

is a step function, and the integral is a linear function:
Z Z Z
( f + g) = f+ g:

6
Moreover, f g; max ff; gg ; min ff; gg ;

f + = max ff; 0g ;

and
f = max f f; 0g
are step functions.
R Finally,
R if f (x) 6 g(x) for all but nitely many (possibly no)
points x, then f 6 g:

Exercises (2.1)

.1 Prove Proposition 4.
.2 Prove Proposition 5.

A sequence (fn )n>1 of step functions is called a Riesz sequence if

B fn (x) 6 fn+1 (x) for each n and all x 2 R; and

R
B the sequence fn n>1 is bounded above.
R
Since the sequence of integrals fn is then both increasing and bounded above,
it converges to a limit l 2 R: For each x the sequence (fn (x))n>1 of real numbers
is also increasing, but it may diverge to innity. However, the convergence of the
sequence of integrals suggests that the set of points x at which (fn (x)) diverges
to innity is small in some sense. A subset A of R is called a null set if
there exists a Riesz sequence (fn ) of step functions such that fn (x) " 1 for
each x 2 A: It follows immediately that every subset of a null set is also a null
set. We say that a property P (x) of real numbers holds almost everywhere
if there exists a null set A such that P (x) holds for all x 2 RnA; we then write

P (x) a:e:

If S is a subset of R; A is a null set; and P (x) is a property that holds for all x
in SnA; then we say that P (x) holds almost everywhere in S; and we write

P (x) a.e. in S:

By the denition of null set a Riesz sequence of step functions converges

almost everywhere.

Lemma 6 Let A be a null set. Then for each " > 0 there exists a Riesz sequence
(fn ) of nonnegative
R step functions such that fn (x) " 1 for each x 2 A; and such
that 0 6 fn 6 " for each n:

Proof. Choose a Riesz sequence (gn ) of step functions and M > 0 such that

7
 (i) gn (x) " 1 for all x 2 A and
R
(ii) gn 6 M for all n:

Then (gn g1 )n>1 is a Riesz sequence of nonnegative step functions such that
R R
gn (x) g1 (x) " 1 for each x 2 A; and such that (gn g1 ) 6 M + jg1 j for
each n: It remains to take
"
fn = R (gn g1 ) :
M + jg1 j

How small is a null set?

Proposition 7 A countable union of null sets is a null set.

Proof. Let (An ) be a sequence of null sets. By the preceding lemma, for
(n)
each n there exists a Riesz sequence fk of step functions that diverges
k>1
R (n)
to 1 on An and that satises fk 6 2 n for all n and k: Dene step functions
(1) (2) (k)
fk = fk + fk + + fk (k > 1) :

Then
(1) (k)
fk (x) = fk (x) + + fk (x)
(1) (k) (k+1)
6 fk+1 (x) + + fk+1 (x) + fk+1 (x) = fk+1 (x)

and Z
fk 6 2 1
+2 2
+ +2 k
< 1:

So (fk )k>1 is a Riesz sequence of step functions. Finally, if x 2 An ; then for

each k > n;
(n)
fk (x) > fk (x) ! 1 as k ! 1:
[
Hence fk (x) ! 1 for all x 2 An :
n>1

Proposition 8 Let (fn ) be a sequence of step functions that vanish outside

R a
proper compact interval I and that decrease to 0 pointwise on I: Then fn ! 0
as n ! 1:

Proof. For each n there is a nite (possibly empty) set Dn of points where
fn is not continuous. Then [
D= Dn
n>1

is countable, say
Dn = fx1 ; x2 ; x3 ; : : :g :

8
We may assume that the endpoints of I belong to D: Choose M > 0 such that
jf1 (x)j 6 M for all x 2 R: Given " > 0; for each n let Jn be an open interval of
1 [ P1
length 6 2n+1 M " that contains xn : Then D Jn and jJn j 6 "=M:
n>1 n=1

Next, given x 2 InD; choose a positive integer x such that fn (x) 6 "=2 jIj
for all n > x : Since x 2 = D; f x is continuous at x and hence, being a step
function, is constant in some open subinterval Vx of (the interior of) I containing
x: Thus for all t 2 Vx and all n > x ;
"
fn (t) 6 f x (t) 6 :
2 jIj

The open intervals Jn (n > 1) and Vx (x 2 InD) form an open cover of I; from
which, by Theorem 1, we can extract a nite subcover, consisting, say, of the
intervals Jn (1 6 n 6 N ) and V k (1 6 k 6 m) : Dene step functions g1 ; g2 as
follows:
8
>
> S
N
< M if x 2 Jn
g1 (x) = n=1
>
>
:
0 otherwise,
8
> S
m
>
< "=2 jIj if x 2 Vk
k=1
g2 (x) =
>
>
:
0 otherwise.

Then
Z N
X 1
X 1
X "
g1 6 M jJn j 6 M jJn j 6 M
1
(2n M ) "=
n=1 n=1 n=1
2
and, as each V k
is in the interior of I;
Z m
" [ "
g2 6 V k
6 :
2 jIj 2
k=1

Let
= max f 1
;:::; m
g:
Then for each n > , since fn (x) 6 g1 (x) + g2 (x) for each x 2 I; we have
Z Z Z
fn 6 g1 + g2 6 ":

Since " > 0 is arbitrary, the desired conclusion follows.

Proposition 9 Let (fn ) be a decreasing

R sequence of step functions such that
limn!1 fn (x) = 0 a.e. Then limn!1 fn = 0:

9
 Proof. Choose a null set A such that limn!1 fn (x) = 0 for all x 2 RnA:
Given " > 0; use LemmaR 6 to nd a Riesz sequence (gn ) of step functions such
that gn > 0 and 0 6 gn 6 " for each n; and such that gn (x) " 1 for each
x 2 A: Consider the step functions
+
hn = (fn gn ) :

For each n;

(fn+1 gn+1 ) (fn gn ) = (fn+1 fn ) + (gn gn+1 ) 6 0;

and so 0 6 hn+1 6 hn : Also, since gn > 0; for each x 2 RnA we have

0 6 lim hn (x) 6 lim fn (x) = 0

n!1 n!1

and therefore hn (x) ! 0: On the other hand, for each x 2 A we have

fn (x) gn (x) 6 f1 (x) gn (x) < 0

for all su ciently large n; whence hn (x) = 0 for all su ciently large n: It now
follows
R that hn (x) ! 0 for all x 2 R: We can now apply Proposition 8 to show
that hn ! 0: Since
Z Z Z Z
fn = (fn gn ) + gn 6 hn + ";
R
it followsR that limn!1 fn 6 ": Since " > 0 is arbitrary, we conclude that
limn!1 fn = 0:

Let E " denote the set of all functions that are limits almost everywhere of
some Riesz sequence (fn ) of step functions. If f 2 E " ; and (fn ) is a Riesz
sequence of step functions such that f (x) = limn!1 fn (x) a:e:; then we dene
the (Lebesgue) integral of f to be
Z Z
f = lim fn :
n!1

In that case, if g(x) = f (x) a.e., then, as the

R union of twoR null sets
R is a null set,
g(x) = limn!1 fn (x) a.e.; so g 2 E " and g = limn!1 fn = f:

Exercises (2.2)

.1 Prove that (i) any nonempty nite set and (ii) the set of rational numbers
is a null set. Is the empty subset of R a null set (explain your answer)?
.2 Let (fn ) and (gn ) be Riesz sequences of step functions such that

lim fn (x) > lim gn (x)

n!1 n!1

10
 almost everywhere. Prove that
Z Z
lim fn > lim gn :
n!1 n!1

+
R(Consider the step functions m;n = (gm fn ) : Show that for each m;
m;n ! 0 as n ! 1:)

.3 Prove that the foregoing denition of the Lebesgue integral of an element

of E " is a good one in other words, that

(i) if (gn ) is another Riesz sequence of step functions converging to f

almost everywhere, then
Z Z
lim gn = lim fn
n!1 n!1

and
(ii) if f is a step function, then its Lebesgue integral coincides with the
integral as we originally dened it.

(For (i) use the preceding exercise.)

.4 Prove that the function dened by f (x) = 1 for all x 2 R is not in E " :
Hence prove that the complement RnA of a null set A is not a null set.
.5 Let f; g 2 E " and let >R 0: Prove that fR+g; Rf; max ff; gg and min ff; gg
belong to E " ; and that ( f + g) = f + g:

Now let
L = f1 f2 : f1 ; f2 2 E " :
The elements of L are called (Lebesgue) summable functions. If f1 ; f2 2 E "
and f = f1 f2 ; dene the (Lebesgue) integral of f to be
Z Z Z
f = f1 f2 :

Exercises (2.3)

.1 Prove that the foregoing is a good denition of the integral of an element

f of L:
.2 Let f; g 2 L and ; 2 R: Prove the following.
R R R
(i) f + g 2 L and ( f + g) = f+ g.
R
(ii) If f (x) > 0 a:e:; then f > 0:

11
 .3 Let f; g be summable functions.
R Prove
R that max ff; gg, min ff; gg ; and
jf j are summable, and that f 6 jf j : (First consider the case where
f; g are both nonnegative.)
.4 Prove that if f is summable, then the functions
1
min ff; ng ; max fmin ff; ng ; ng ; and min jf j ;
n
are summable for each positive integer n:
.5 Prove that the Lebesgue integral is translation invariant: if f 2 L and
yR 2 R; then
R the function fy dened by fy (x) = f (x + y) is summable, and
fy = f: (Reduce to the case where f 2 E " :)
.6 Prove that if f is summable and is a nonzero
R real
R number, then h(x) =
f ( x) denes a summable function and j j h = f:

We say that f 2 L is summable over the subset A of R if the function

f A belongs to L; where A : R! f0; 1g is the characteristic function, or
indicator, or A : 8
< 1 if x 2 A
A (x) =
:
0 if x 2
= A:
We then write Z Z
f= f A:
A
If A = [a; b] is a compact interval, we write
Z b Z
f= f;
a [a;b]

and if, for example, A = ( 1; b]; we write

Z b Z
f= f:
1 ( 1;b]

Note that

A[B = max f A; Bg and

A\B = min f A; Bg :

For example, we have

A\B (x) =1,x2A\B

, x 2 A and x 2 B
, A (x) = 1 and B (x) = 1
, min f A (x); B (x)g = 1:

12
Proposition 10 If f is summable over the subsets A; B of R; then it is sum-
mable over A [ B and A \ B:

Proof. First consider the case where f > 0. We have

f A[B = max ff A; f Bg and

f A\B = min ff A; f Bg ;

both of which are summable by Exercise (2.3, 3). In the general case, set f =
f + f : Then f + 2 L; by Exercise (2.3, 3). Since f + A = max ff A ; 0g ; the
same exercise shows that f + is summable over A; similarly, f + is summable
over B: It follows from the rst part of this proof that f + is summable over
both A [ B and A \ B: Similarly, f is summable over A [ B and A \ B: Hence

f A[B = f+ A[B f A[B

is summable, as, likewise, is f A\B :

Exercises (2.4)

.1 Let f be summable over A and B: Is f summable over AnB?

.2 Prove that if f 2 L; then f is summable over any bounded interval I in
R: (First consider the case where f is a step function.)

Can we extend the class of summable functions by a method similar to

the one that led us from the step functions to the set L? To consider this
question properly, we call a sequence (fn ) in L aRRiesz sequence of summable
functions if f1 6 f2 6 and the sequence fn n>1 is bounded above.

Proposition 11 Let (fn ) be a sequence of elements of E " such that fn (x) > 0
1 R
P P
1
a.e. and fn converges in R: Then there exists f 2 E " such that fn (x) =
n=1 n=1
R 1 R
P
f (x) a.e. and f= fn :
n=1

(n)
Proof. For each n choose1 a Riesz sequence fk of step functions
k>1
and a null set An such that
(n)
(i) limk!1 fk (x) = fn (x) for all x 2 RnAn ;
R (n) R
(ii) limk!1 fk = fn ; and
(n)
(iii) fk > 0 for each k:
1 Thisrequires a little thought, though not much. Let (gn )n>1 be a Riesz sequence of step
functions converging almost everywhere to f; and take fn = max f0; gn g :

13
Dene the step functions
(1) (2) (i)
gi = fi + fi + + fi (i > 1) :
(n)
Then (cf. the proof of Proposition 7) gi 6 gi+1 : Also, since fi " fn as i ! 1;
Z Z Z Z X 1 Z
gi 6 f1 + f2 + + fi 6 fn :
n=1

Hence (gi )i>1 is a Riesz sequence of step functions, and so there exist f 2 E "
R R
and a null set A0 such that gi (x) " f (x) for all x 2 RnA0 and gi " f as
i ! 1: Let
1
[
A= An ;
n=0
which, being a countable union of null sets, is a null set. For each x 2 RnA;
f (x) > gi (x)
(1) (2) (i)
= fi (x) + fi (x) + + fi (x)
(1) (2) (n)
> fi (x) + fi (x) + + fi (x) (n 6 i) :
Keeping n xed and letting i ! 1; we obtain
f (x) > f1 (x) + + fn (x):
P
1
So the series fn (x) has partial sums bounded above by f (x):Since
n=1

(n)
fn (x) = lim fi (x) > 0 (x 2 RnA) ;
i!1

that series converges to a sum at most f (x) for each x 2 RnA: For each such x;
gn (x) 6 f1 (x) + + fn (x) 6 f (x) (n > 1) ;
so
1
X
f (x) = lim gn (x) 6 fn (x) 6 f (x)
n!1
n=1
and therefore
1
X
f (x) = fn (x):
n=1
Finally,
Z i Z
X Z
gi 6 fn 6 f;
n=1
R 1 R
P
so, letting i ! 1; we have f= fn :
n=1

Before extending this result to the set L; we need a lemma.

14
Lemma 12 Let f 2 L; and let f (x) > 0 a.e. Then for each " R> 0 there exist
g; h 2 E " such that f = g h; g(x) > 0 a.e, h(x) > 0 a.e., and h < ":

Proof. Choose g (1) ; h(1) in E " such that f = g (1) h(1) : There exists a
Riesz sequence (hn ) of step functions such that

h(1) (x) = lim hn (x) a.e. and

n!1
Z Z
(1)
h = lim hn :
n!1

R
R
Given " > 0; choose N such that h(1) hN < ": Take h = h(1) hN and
(1)
g=g hN : Since hNR is a step function, so is hN ; and therefore both g and
h belong to E " : Also, h < "; h(x) > 0 a.e., and g(x) = f (x) + h(x) > 0 a.e.
Finally, f = g h a.e.

Theorem 13 Lebesgues series theorem (rst form): Let (fn ) be a se-

1 R
P
quence of summable functions such that fn (x) > 0 a.e. for each n; and fn
n=1
P
1
converges in R: Then there exists f 2 L such that fn (x) converges a:e: to
n=1
1 R
P R
f (x) and fn = f:
n=1

Proof. Using Lemma 12, choose sequences ( n ) ; ( n ) inR E " such that for
n ; n (x) > 0 a.e., n (x) > 0 a.e., and 0 6 n 62
n
each n; fn = n : Then
PR
1 P
1
the series n converges by comparison with 2 n : Hence, by Proposition
n=1 n=1
P
1 P1 R R
"
11, there exists2 E such that n (x) = (x) a.e. and n = :
R R n=1 R n=1
Since n = fn + n , n = fn + n and the convergence of the series
P1 R 1 R
P P1 R
fn ; n entails that of n : Applying Proposition 11 once more,
n=1 n=1 n=1
P
1 1 R
P R
"
we obtain 2 E such that n (x) = (x) a.e. and n = : Since
n=1 n=1
the union of two null sets is a null set, it remains to take f = :

Exercises (2.5)

.1 Prove Lebesgues series theorem (second form): If (fn ) is a sequence of

1 R
P
summable functions such that jfn j converges, then there exists f 2 L
n=1
P
1 1 R
P R
such that fn (x) = f (x) a.e. and fn = f:
n=1 n=1
R
.2 Let f be summable. Prove that jf j = 0 if and only if f (x) = 0 a.e. (Hint
for only if: take fn = jf j in Theorem 13.)

15
 .3 Prove that a null set cannot contain a proper interval.
.4 Let (An ) be a sequence of subsets of R, and f a function that is summable
P1 R
over each An ; such that An
jf j converges. Prove that
n=1

[ R 1 R
P
(i) f is summable over A = An ; and A
jf j 6 An
jf j ;
n>1 n=1

R 1 R
P
(ii) if also the sets An are pairwise disjoint, then A
f= An
f:
n=1

We are now in a position to show that the extension process that took us
from the set of step functions to E " and then L cannot be applied, beginning
with L; to extend the class of summable functions.

Theorem 14 Beppo Levis theorem: Let (fn ) be a Riesz sequence of sum-

mable functions. Then there exists a summable function f such that

B limn!1 fn (x) = f (x) a.e. and

R R
B limn!1 fn = f:

Proof. Choose M such that

Z Z
M > fn f1 (n > 1) :

Dene the summable functions

gn = fn+1 fn (n > 1) :

P
k
Then gn (x) > 0 a.e. and gn = fk+1 f1 ; so
n=1

k Z
X Z Z
gn = fk+1 f1 6 M (k > 1):
n=1

1 R
P
Thus the series gn of nonnegative terms has bounded partial sums and so
n=1
P
1
is convergent. Applying Theorem 13, we obtain g 2 L such that gn (x) =
n=1
P
1 R R
g(x) a:e: and gn = g: Now let f = g + f1 2 L: Then
n=1

1
X
lim fn (x) = f1 (x) + gn (x) = f1 (x) + g(x) = f (x) a:e:
n!1
n=1

16
and
Z Z 1 Z
X Z Z Z Z
lim fn = f1 + gn = f1 + g= (f1 + g) = f;
n!1
n=1

as we required.
Corollary 15 Let (fn ) be a sequence of summable functions such that f1 >
f2 > > 0 a.e.
R Then
R there exists a summable function f such that fn (x) !
f (x) a.e. and fn ! f as n ! 1:
Proof. Apply Beppo Levis theorem to the sequence ( fn )n>1 of summable
functions.

Exercises (2.6)
.1 Dene f (x) = e x ; where is a positive
R constant. Prove that f is
summable over [0; 1); and calculate f: (You may assume something
that we will prove in Section 4: namely, that if f : [a; b] ! R is Riemann
integrable, then it is summable and the Lebesgue integral of f equals its
Riemann integral.)
P
1
n2 x
.2 Prove that the series e converges for each x > 0: Dene
n=1
8 1
> P n2 x
>
< e if x > 0
n=1
f (x) =
>
>
: 0 if x 6 0:
R P
1
Prove that f is summable and that f= 1=n2 :
n=1

.3 Let f be a summable function, and J a bounded interval. Use Beppo

Levis theorem to prove that f is summable over J: (Consider the sequence
(min ff; gn g)n>1 ; where gn (x) = n if x 2 J; and gn (x) = 0 otherwise.)
Extend this result to an unbounded interval J: (First take f > 0: Consider
the sequence (fn ) ; where fn (x) = f (x) if x 2 J \ [ n; n] ; and fn (x) = 0
otherwise.)
.4 Let f be summable,
R and " > 0: Show that there exists a bounded interval
J such that RnJ jf j < ": (Consider jf j n ; where n is the characteristic
function of [ n; n] :)
.5 Prove Fatous lemma: If (fn ) is a sequence of nonnegative summable
functions that
R converges almost everywhere to a function f; and if the
sequence fn is bounded above, then f is summable and
Z Z
f 6 lim inf fn :

(Apply Beppo Levis theorem to the functions gn = inf k>n fk :)

17
 1
.6 Let (fn )n=0 be a sequence of nonnegative summable functions such that
fn (x) 6 f0 (x) a.e. for each n: Prove that supk>n fk is summable for each
n; that
lim sup fn = lim sup fn
k!1 n>k

is summable, and that

Z Z
lim sup fn 6 lim sup fn :
n>1

.7 Let (fn ) be a sequence of summable

R functions such that 0 6 fn+1 (x) 6
fn (x) a.e. Prove that limn!1 fn = 0 if and only if limn!1 Rfn (x) = 0
a.e. (For only if, use Corollary 15. ForR if, assume that fn ! 0;
choose a subsequence (fnk )k>1 such that fnk < 2 k for each k; and,
using Lebesgues series theorem, show that limk!1 fnk (x) = 0 a.e.)

Let f; g be functions dened almost everywhere. We say that g dominates

f if jf (x)j 6 g(x) a.e.

Theorem 16 Lebesgues dominated convergence theorem: Let (fn ) be a

sequence of summable functions that converges almost everywhere to a function
f; and suppose that there Rexists a summable
R function g that dominates each fn :
Then f is summable and f = limn!1 fn :

Proof. By Exercise (2.6, 6), the functions

gn = sup fk
k>n

are summable. Moreover,R (gn ) is a Rdecreasing sequence that converges to f

almost everywhere. Since ( gn ) 6 g; we can apply Beppo Levi R s Theorem
R
to the sequence ( gn ) ; to show that f is summable
R and
R that gn ! f:
Replacing f by f in this argument, we see that hn ! f; where

hn = inf fk :
k>n

Finally, hn 6 fn 6 gn ; so
Z Z Z
hn 6 fn 6 gn
R R
and therefore fn ! f:

Exercises (2.7)
R R
.1 Prove that if f is summable, then min ff; ng ! f as n ! 1. (Note
that min ff; ng is summable, by Exercise (2.3, 4).)

18
 .2 Let f be a summable function, and for each positive integer n dene

fn = max fmin ff; ng ; ng :

R
Prove that jf fn j ! 0 as n ! 1:
R
.3 Give two proofs that if f is a summable function, then min jf j ; n1 ! 0
as n ! 1:
.4 Give an example of a sequence
R (fn ) of summable functions such that
fn (x) ! 0 a.e., limn!1 fn = 0; but there is no summable function that
dominates each fn :
Rx
.5 Let f 2 L and dene g(x) = 1
f: Prove that g is continuous on R:
(Hint: Given x0 2 R; show that g is sequentially continuous at x0 : that
is, that if (xn ) is a sequence converging to x0 ; then g(xn ) ! g(x): To do
this, consider fn where fn (x) = f (x) if x 6 xn ; and fn (x) = 0 otherwise.)
Rx
.6 Let f be summable, and let a < b: Suppose that a f = 0 for each
x 2 [a; b] : Prove that f (x) = 0 a.e. in [a; b] : (Hint: choose a strictly
increasing sequence (xn ) of points of (a; b) converging to b; and consider
fn = f [a;xn ] :)
.7 Let f be a real-valued function on R that has a bounded derivative f 0 on
an open interval containing the compact interval [a; b] : Prove that f 0 is
Rb
summable over [a; b] and that a f 0 = f (b) f (a): (Consider the functions

1
x n f x+ f (x) ;
n

where n is a positive integer. Once again, you will have to anticipate the
connection between Riemann and Lebesgue integrals. Also, you will need
to use some results from elementary calculus.)

The following result provides an alternative criterion for summability.

Proposition 17 Let f be a real-valued function dened almost everywhere.

Then f is summable if and only if there exists a sequence (fn ) of step func-
tions such that
R
(i) For each " > 0 there exists N such that jfm fn j < " whenever m; n >
N ; and

(ii) fn (x) ! f (x) a.e.

R
In that case, jf fn j ! 0 as n ! 1:

19
 Proof. We prove if; the converse is left as an exercise. Accordingly,
assume (i) and (ii), and choose a null set A1 such that fn (x) ! f (x) for all
x 2 RnA1 : Compute a strictly increasing sequence (nk )k>1 of positive integers
such that for each k;
Z
jfm fn j < 2 k (m; n > nk ) : (1)

R k
1 R
P
Then fnk+1 fnk < 2 and so the series fnk+1 fnk converges, by
k=1
P
1
k
comparison with 2 : It follows from Lebesgues series theorem that there
n=1
P
1
exist a summable function and a null set A2 such that fnk+1 (x) fnk (x)
k=1
converges to (x) for all x 2 RnA2 : Then A = A1 [ A2 is a null set, and for all
P
1
x 2 RnA the series fnk+1 (x) fnk (x) converges and
k=1

1
X
fn1 (x) + fnk+1 (x) fnk (x) = lim fnk (x) = f (x):
k!1
k=1

Hence f is the limit a.e. of the summable functions

K
X
x fn1 (x) + fnk+1 (x) fnk (x) (K = 1; 2; ):
k=1

Since each of these functions is dominated by the summable function jfn1 j +

j j ; we conclude from Lebesgues dominated convergence theorem that f is
summable.
The proof of the nal part of the proposition is left to the next exercise.

20
Exercises (2.8)
R
.1 Under the hypotheses of Proposition 17, prove that jf fn j ! 0 as
n ! 1:
.2 Prove the following converse of Proposition 17: If f is summable,
R then
there exists a sequence (fn ) of step functions such that jf fn j ! 0
and fn (x) ! f (x) a.e.

3 Null Sets Revisited

A subset of R is said to have measure zero, or to be of measure zero, if for
each " > 0 it can be covered by a sequence (In )n>1 of (possibly empty) intervals
P
1
such that jIn j 6 ":
n=1

Proposition 18 Every null set has measure zero.

Proof. Let A be a null subset of R; and choose a Riesz sequence (fn ) of

step Rfunctions such that fn (t) " 1 for each t 2 A; fn > 0 for each n; and
0 6 fn 6 1 for each n: Given " > 0; consider the sets

1
An = x 2 R : fn (x) > (n > 1) :
"

Clearly, [
A An and An An+1 (1)
n>1

Also, since each fn is a step function, each An is the union of a nite number
of disjoint (possibly degenerate) intervals. For each of the intervals I that make
up An in this way we have I 6 "fn ; so the total length of these intervals is
Z
jAn j 6 " fn 6 ":

Next, dene
B1 = A1 ; Bn = An nAn 1 (n > 2) :
Then Bn is a nite union of disjoint (possibly degenerate) intervals, and
k
[
Bn = Ak (k > 1) :
n=1

Hence, by (1), [ [
Bn = An A:
n>1 n>1

21
Further, the total length of the disjoint subintervals that compose Bn is

jBn j = jAn j jAn 1j ;

so
k
X
jBn j = jAk j 6 " (k > 1)
n=1

P
1
and therefore jBn j converges to a sum 6 ": Since " > 0 is arbitrary, we
n=1
conclude that A has measure zero.

Why do we introduce the sets Bn in the foregoing proof? We do so because

although A is covered by the sets An ; the series of lengths of the disjoint intervals
making up all the An need not converge: since the set An are not necessarily
disjoint, some of those intervals might appear innitely often in the series.

Proposition 19 Every set of measure zero is a null set.

Proof. Let A be a set of measure zero. For each positive integer n; A is

covered by a set An that is a union of a sequence (Jn;k )k>1 of disjoint intervals
with total length at most 1=n: Dene
\
S= An ;
n>1
k
\
Sk = An (k > 1) :
n=1

The characteristic function of Sk is

k = min f A1 ; : : : ; Ak g ;

and it is easily seen that

S (x) = lim k (x): (1)

k!1

S
i
Now let n;i be the characteristic function of Jn;k , which is a step function.
k=1
We have
n;i 6 n;i+1 (i > 1) ;
lim n;i (x) = An (x) (x 2 R) ;
i!1

and
Z i
X
n;i 6 jJn;k j 6 1=n (i > 1) :
k=1

22
Hence ( n;i )i>1 is a Riesz sequence of step functions converging almost every-
where to An ; so An 2 E " and
Z Z
1
06 An = lim n;i 6 :
i!1 n
It follows that n is summable and that
Z Z
1
06 n 6 An 6 :
n

Since also k > k+1 ; we can apply Corollary 15 to show, with reference to (1),
that S 2 L and that
Z Z
06 S = lim k = 0:
k!1

As S > 0; it follows that S (x) = 0 almost everywhere. So S is a null set;

whence A; being a subset of a null set, is a null set.

The following exercises are designed to show that not all null sets are count-
able.

Exercises (3.1)

.1 Let C be the Cantor set that is, the subset of [0; 1] consisting of all
P1
numbers that have a ternary (base 3) expansion an 3 n with an 2
n=1
f0; 2g for each n: Prove that if a; b are two elements of C that dier in
their mth ternary places, then ja bj > 3 m :
.2 With C as in the previous exercise, prove that [0; 1] nC is the union of a
sequence (Jn )n>1 of non-overlapping open intervals whose lengths sum to
1; and that C has measure zero.
P
1
n
.3 For each x = an 3 2 C dene
n=1

1
X
n 1
F (x) = an 2 :
n=1

Prove that this is a good denition of a function F : C ! R: Prove also

that F is increasing, continuous, and maps C into [0; 1] : Hence prove that
C is uncountable.

23
4 Riemann and Lebesgue Integrals
We now recall the basic denitions of Riemann integration theory. By a parti-
tion of a compact interval I = [a; b] we mean a nite sequence P = (x0 ; x1 ; : : : ; xn )
of points of I such that

a = x0 6 x1 6 6 xn = b:

The real number

max fxi+1 xi : 0 6 i 6 n 1g
is called the mesh of the partition. Loosely, we identify P with the set fx0 ; : : : ; xn g:
A partition Q is called a renement of P if P Q:
Now let f : I ! R a bounded function, and for 0 6 i 6 n 1 dene

mi (f ) = inf ff (x) : xi 6 x 6 xi+1 g ;

Mi (f ) = sup ff (x) : xi 6 x 6 xi+1 g :

The real numbers

n
X1
L(f; P ) = mi (f ) (xi+1 xi ) ;
i=0
n
X1
U (f; P ) = Mi (f ) (xi+1 xi )
i=0

are called the lower sum and upper sum, respectively, for f and P: Since

(b a) inf f 6 L(f; P ) 6 U (f; P ) 6 (b a) sup f;

the lower integral of f;

Z b
f = sup fL(f; P ) : P is a partition of [a; b]g ;
a

and the upper integral of f;

Z b
f = inf fU (f; P ) : P is a partition of [a; b]g ;
a

exist. Moreover,
Z b Z b
f6 f: (1)
a a

To see this, rst observe that if P 0 is a renement of a partition P; then2

L (f; P ) 6 L(f; P 0 ) 6 U (f; P 0 ) 6 U (f; P );

2 This is easily proved: rst consider the case where P 0 is obtained by adding one point to

the partition P:

24
so if Q is any partition, then

L(f; P ) 6 L(f; P [ Q) 6 U (f; P [ Q) 6 U (f; Q):

Thus every lower sum for f is less than or equal to every upper sum, from which
(1) follows.
We say that f is Riemann integrable over I if its lower and upper integrals
coincide, in which case we dene the Riemann integral of f over I to be
Z b Z b Z b
f= f= f:
a a a
R

We also dene Z Z
a b
f = f
b a
R R

when f is Riemann integrable over [a; b] :

Theorem 20 Let f : [a; b] ! R be Riemann integrable, and RextendRf to R by

a
setting f (x) = 0 if x < a or x > b: Then f is summable, and f = b f :
R

Proof. With the partition P as above, dene step functions gP ; hP on R as

follows: 8
>
> mi (f ) if xi 6 x < xi+1
>
>
<
gP (x) = mn 1 (f ) if x = xn = b
>
>
>
>
:
0 if x < a or x > b;
8
>
> Mi (f ) if xi 6 x < xi+1
>
>
<
hP (x) = Mn 1 (f ) if x = xn = b
>
>
>
>
:
0 if x < a or x > b:
Then gP 6 f 6 hP and
Z Z b Z b Z
gP = L(f; P ) 6 f= f 6 U (f; P ) = hP :
a a

Since f is Riemann integrable, we can choose a sequence (Pn )n>1 of partitions

of I such that for each n;
Z Z b Z b Z
gPn = L(f; Pn ) 6 f= f 6 U (f; Pn ) = hP n
a a

and Z
1
(hPn gPn ) < :
n

25
Dene step functions

n = max fgP1 ; gP2 ; : : : ; gPn g ;

n = min fhP1 ; hP2 ; : : : ; hPn g :

Then for each n;

gPn 6 n 6 n+1 6f 6 n+1 6 n 6 hP n ;

Z Z b Z b Z
n 6 f= f6 n; (1)
a a

and Z Z
1
06 ( n n) 6 (hPn gPn ) < : (2)
n
It follows from (1) and (2) that
Z Z a Z
lim n = f = lim n:
n!1 b n!1
R
R R
Since n 6 hP1 for each n; we see that ( n ) is a Riesz sequence of step
functions; whence there exist a null set A and a function 2 E " such that
limn!1 n (x) = (x) for each x 2 RnA; and
Z Z
lim n = : (3)
n!1

Similarly, ( n ) is a Riesz sequence of step functions, and so there exists a null

set B R and a functions R such Rthat 2 E " ; limn!1 n (x) = (x) for
each x 2 RnB; and limn!1 n = : Now, n n is summable,

06 n+1 n+1 6 n n;
R
and ( n n ) < 1=n: By Exercise (2.6, 7), there exists a null set C such that
limn!1 ( n (x) n (x)) = 0 for all x 2 RnC: Then

S =A[B[C

is a null set, and for all x 2 RnS;

(x) = (x) 6 f (x) 6 (x)

and therefore f (x) = (x): Thus f is summable (in fact, both f and f are in
E " and, by (3), Z Z Z Z a
f= = lim n = f:
n!1 b
R

26
 The converse of Theorem 20 is false. Dene f : [0; 1] ! f0; 1g by

0 if x 2 [0; 1] \ Q
f (x) =
1 if x 2 [0; 1] nQ:
Rb Rb
Then a f = 0 and a f = 1; so f is not Riemann integrable. However, extending
f by setting f (x)
R = 0 if x < 0 or x > 1; we see that f (x) = 0 a.e.; whence f is
summable and f = 0:

Exercises (4.1)

.1 Let f : R ! R be nonnegative, bounded, and (extended) Riemann inte-

grable over R in the sense that
Z 1 Z n
f = lim f
1 n!1 n
R R
R R1
exists. Prove that f is summable and that f= 1
f:
.2 Show that the hypothesis that f is nonnegative cannot be omitted from
the preceding exercise. (Hint: Take f (x) = ( 1) =n for n 1 6 x < n:)
n

.3 Let F be continuous on R; and let a < b: Prove that for each x 2 [a; b] ;
R x+ 1
n x n F ! F (x) as n ! 1:
.4 Let f and fn (n > 1) be Riemann integrable over [a; b] : Suppose that
fn 6 fn+1 for each n; and that limn!1 fn (x) = f (x) for each x 2 [a; b] :
Rb Rb
Prove that a fn ! a f as n ! 1: (Note that we need to include the
R R
hypothesis that f is Riemann integrable here; without it, we could prove
is that f is summable, but not necessarily that it is Riemann integrable.)

Is there a convenient characterisation of Riemann integrability? To nd one,

we need some denitions and lemmas. We rst introduce the limit inferior
f : I ! R and the limit superiorf : I ! R of a bounded function f; dened
by

f (x) = lim inf ff (t) : t 2 I \ (x ; x + )g ;

#0

f (x) = lim sup ff (t) : t 2 I \ (x ; x + )g :

#0

These are well dened. For example, if > 0; then for each x 2 I; as f is
bounded,
M (x) = sup ff (t) : t 2 I \ (x ; x + )g
exists; moreover, M (x) is an decreasing function of and is bounded below by
inf ff (t) : t 2 Ig : Hence f (x) = lim #0 M (x) exists; a similar argument shows
that f (x) exists.

27
Lemma 21 Let f : [a; b] ! R be bounded, and x0 2 [a; b] : Then f is continuous
at x0 if and only if f (x0 ) = f (x0 ) = f (x0 ):

Proof. Exercise.

Lemma 22 If f : [a; b] ! R is bounded, then f ; f are summable over [a; b],

Rb Rb Rb Rb
a
f = a f; and a f = a f:

Proof. Let (Pn ) be a sequence of partitions of I = [a; b] whose

[ meshes tend
to 0 as n ! 1; and let A be the set of all partition points in Pn : Then A;
n>1
being countable, is a null set. Given x 2 InA and n > 1; we can nd an interval
Jn of the partition Pn such that x 2 Jn : Let n be the maximum, and let n0 be
the minimum, of the distance from x to the end points of Jn : For each positive
set

M (x) = sup ff (t) : t 2 I \ (x ; x + )g ;

m (x) = inf ff (t) : t 2 I \ (x ; x + )g :

Then

M n0 (x) 6 sup ff (t) : t 2 Jn g 6 M n (x);

m n (x) 6 inf ff (t) : t 2 Jn g 6 m n0 (x):
0
Since n ! 0 and n ! 0 as n ! 1; we conclude that

f (x) = lim sup ff (x) : x 2 Jn g ;

n!1
f (x) = lim inf ff (x) : x 2 Jn g :
n!1

For each partition P : a = x0 < x1 < : : : < xn = b dene step functions

P; P by

mi (f ) if 1 6 i < n and xi 1 < x < xi

P (x) =
0 if x = xi for some i or x < a or x < b;

Mi (f ) if 1 6 i < n and xi 1 < x < xi

P (x) =
0 if x = xi for some i or x < a or x < b:
Then for each x 2 InA we have

f (x) = lim Pn (x);

n!1
f (x) = lim Pn (x):
n!1

To see this, let " > 0 and choose " > 0 such that if 0 < < " ; then 0 6
M (x) f (x) < ": There exists a positive integer N such that mesh (Pn ) < "

28
for all n > N: Let n > N; and let (xk 1 ; xk ) be the partition interval for Pn
that contains x: Then (xk 1 ; xk ) (x " ; x + " ) ; so

M " (x) > Mk > f (x)

and therefore

06 Pn (x) f (x) = Mk f (x) 6 M " (x) f (x) < ":

The summable functions Pn ; Pn are dominated by the summable step func-

tion F dened by

sup fjf (t)j : t 2 Ig if x 2 I

F (x) =
0 if x 2
= I:

Hence, by Lebesgues dominated convergence theorem, the functions f and f ;

extended by setting them equal to 0 outside I; are summable,
Z Z Z b
f = lim Pn = f;
n!1 a

and
Z Z Z b
f = lim Pn = f:
n!1 a

Theorem 23 A bounded function f is Riemann integrable over the compact

interval I = [a; b] if and only if it is continuous almost everywhere in I:

Proof. We see that since f > f ;

Z b Z b
f is Riemann integrable , f= f
a a
Z b Z b
, f= f by Lemma 22
a a
Z b
, f f =0
a
, f (x) f (x) = 0 a.e.in I;

which, by Lemma 21, holds if and only if f is continuous a:e: in I:

Exercises (4.2)

.1 Prove Lemma 21.

.2 Use Theorem 23 to give an alternative proof of Theorem 20.

29
Proposition 24 Integration by Parts: Let f; g be summable over the com-
pact interval [a; b] ; and let
Z x Z x
F (x) = f; G(x) = g (a 6 x 6 b) :
a a

Then F g and f G are summable over [a; b] ; and

Z b Z b
Fg + f G = F (b)G(b):
a a

Proof. In the trivial case where f (x) = c1 and g(x) = c2 are constant for
all x 2 [a; b] ; we use Theorem 20 to show that
Z b Z b Z b
2
Fg = c1 c2 (x a) dx = 21 c1 c2 (b a) = fG
a a a
R

and hence that

Z b Z b
2
Fg + f G = c1 c2 (b a) = F (b)G(b):
a a

The desired conclusion now follows in the case where f; g are step functions
that vanish outside [a; b] : In the case of general summable functions f; g we use
Proposition 17 and Exercise (2.8, 1) to construct sequences R (fn ) ; (gn ) of step
functions
R such that fn (x) ! f (x) a.e., gn (x) ! g(x) a.e., jf fn j ! 0; and
jg gn j ! 0 as n ! 1: For each n write
8 Rx
< a fn if a 6 x 6 b
Fn (x) = ;
:
0 otherwise,
8 Rx
< a gn if a 6 x 6 b
Gn (x) = :
:
0 otherwise.

By (an obvious variant of) Exercise (2.7, 5), Fn and Gn are both continuous,
and hence Riemann integrable, on [a; b] : Since gn is a step function and therefore
continuous a.e., the function Fn gn is Riemann integrable, and hence summable
(Theorem 20), over [a; b] : Similarly, fn Gn is summable over [a; b] : Now, for each
x 2 [a; b] ;
Z x
jF (x) Fn (x)j = (f fn )
Z ax Z
6 jf fn j 6 jf fn j ! 0 as n ! 1
a

and Z x Z
jFn (x)j = fn 6 jfn j ;
a

30
with similar inequalities holding for jG(x) Gn (x)j and jGn (x)j : Thus
jF (x)g(x) + f (x)G(x) (Fn (x)gn (x) + fn (x)Gn (x))j
6 jF (x) Fn (x)j jg(x)j + jFn (x)j jg(x) gn (x)j
+ jf (x)j jG(x) Gn (x)j + jfn (x) f (x)j jGn (x)j
Z Z Z
6 jg(x)j jf fn j + jg(x) gn (x)j jfn j + jf (x)j jg gn j
Z
+ jf (x) fn (x)j jgn j

and so
Z b Z b
(F g + f G) (Fn gn + fn Gn )
a a
Z Z Z Z
6 jgj jf fn j + jg gn j jfn j
Z Z Z Z
+ jf j jg
gn j + jf fn j jgn j
Z Z Z Z
= jgj + jgn j jf fn j + jf j + jfn j jg gn j :

But jjgj jgn jj 6 jg gn j ; so

Z Z
jgn j jgj 6 jg gn j ! 0
R R R R
that is, jgn j ! jgj : Similarly, jfn j ! jf j : It follows that for all su -
ciently large n we have
Z Z Z Z
jgj + jgn j jf fn j + jf j + jfn j jg gn j
Z Z Z Z
6 1 + 2 jgj jf fn j + 1 + 2 jf j jg gn j ! 0 as n ! 1:

Thus Z Z
b b
(F g + f G) (Fn gn + fn Gn ) ! 0 as n ! 1;
a a

and so
Z b Z b
(F g + f G) = lim (Fn gn + fn Gn )
a n!1 a
= lim Fn (b)Gn (b) (by the step-function case)
n!1
= F (b)G(b):

31
5 Measurable functions
Let f be a real-valued function dened almost everywhere on R: We say that f
is measurable if it is the limit a.e. of a sequence of step functions.

Proposition 25 A function f is measurable if and only if it is the limit a.e.

of a sequence of summable functions.

Proof. Since step functions are summable, only if is trivial. Conversely,

suppose that f is the limit a.e. of a sequence (fn ) of summable functions.
By Proposition 17, there exists a sequence (gn ) of step functions such that
R 1 R
P
jfn gn j < 2 n for each n: Then jfn gn j converges, by comparison
n=1
P
1
n
P
1
with 2 ; so, by Lebesgues series theorem, jfn (x) gn (x)j converges
n=1 n=1
a.e. Hence limn!1 (fn (x) gn (x)) = 0 a.e. Since the union of two null sets is
null, it follows that gn (x) ! f (x) a.e.; whence f is measurable.

Exercises (5.1)

.1 Prove that any summable function is measurable. Give an example of a

measurable function that is not summable.
.2 Prove that if f and g are measurable, then so are the functions f + g; f
g; max ff; gg ; min ff; gg ; and jf j :
.3 Prove that a continuous function f : R!R is measurable.

The following result provides a very useful test for summability.

Theorem 26 A measurable function dominated by a summable function is sum-

mable.

Proof. Let f be a measurable function, g a summable function, and A1 a

null set such that jf (x)j 6 g(x) for all x 2 RnA1 : Choose a sequence (fn ) of
summable functions and a null set A2 such that limn!1 fn (x) = f (x) for all
x 2 RnA2 : Then A = A1 [ A2 is a null set. Dene

gn = max f g; min ffn ; ggg :

Then gn is summable, by Exercise (2.3, 3), and for each x 2 RnA; jgn (x)j 6 g(x)
and
lim gn (x) = max f g(x); min ff (x); g(x)gg = f (x):
n!1

Since g is summable, so is f; by Lebesgues dominated convergence theorem.

Exercises (5.2)

32
.1 Prove that a measurable function f is summable if and only if jf j is sum-
mable.
.2 Prove that a summable function is summable over any interval.
.3 Let (fn ) be a sequence of measurable functions that converges almost
everywhere to a function f: Prove that f is measurable. (For each k
dene the step function gk by
8
< k if k 6 x 6 k
gk (x) =
:
0 otherwise.
First prove that max f gk ; min ff; gk gg is summable.)
p
.4 Let f be measurable, and p a positive number. Prove that jf j is measur-
able.
.5 Give an example of a measurable function f which is not summable even
though f 2 is summable.
.6 Give two proofs that a product of measurable functions is measurable.
(For one proof use Exercises (5.1, 2) and (5.2, 5).)
.7 Let f be measurable, and nonzero almost everywhere. Prove that 1=f is
measurable. (First consider the case where f > c almost everywhere for
some positive constant c: For general f > 0; consider fn = 1= f + n 1 :)
.8 Let 1 < < 2; and dene
8
< x sin x if x > 0
f (x) =
:
0 if x 6 0:
Prove that f is summable.
.9 Prove the RiemannLebesgue lemma: If f is a summable function,
then the functions x f (x) sin nx and x f (x) cos nx are summable,
and
Z Z
lim f (x) sin nx dx = 0 and lim f (x) cos nx dx = 0:
n!1 n!1

.10 For each positive integer n let fn : [0; 1] ! R be dened by

8
< n 2 x 1=2 cos nx 1 if x 6= 0
fn (x) =
:
0 if x = 0:
P
1
Prove that fn is summable over [0; 1] ; that the series fn (x) converges
n=1
almost everywhere to a function f that is summable over [0; 1] ; and that
P1 R R1
1
f = 0 f:
0 n
n=1

33
 .11 Let f be a summable function, and g a bounded summable function such
that limx! 1 g(x) = 0 = limx!1 g(x) almost everywhere. Prove that
the function h : x R g(x)f (x=n) is summable for each positive integer n;
and that limn!1 n1 h = 0: (Hint: See Exercise (2.3, 5).)

Proposition 27 Let f be a measurable function, and : R ! R a continuous

function. Then ' f is measurable.

Proof. Choose a sequence (fn ) of step functions, and a null set A; such that
fn (x) ! f (x) for all x 2 RnA: For each n dene

gn = fn (0):

Then gn is a step function and so is measurable. On the other hand, the constant
function x (0) is measurable (why?); so fn is measurable, as the dierence
of two measurable functions, by Exercise (5.1, 2). The continuity of ensures
that fn (x) ! f (x) for each x 2 RnA: It follows from Exercise (5.2, 3)
that f is measurable.

A subset A of R is called a measurable set (respectively, integrable set)

if A is a measurable (respectively, summable) function. A measurable subset
of an integrable set is integrable, by Theorem 26. R
If A R is integrable, we dene its (Lebesgue) measure to be (A) = A:

34
Exercises (5.3)

.1 Let A; B be measurable sets. Prove that A [ B; A \ B; and AnB are

measurable.
.2 Let (An ) be a sequence of pairwise disjoint measurable sets. Prove that
[
(i) An is measurable;
n>1
P
1 [
(ii) if (An ) is convergent, then An is integrable, and
n=1 n>1
0 1
[ 1
X
@ An A = (An ):
n>1 n=1

.3 Prove that any interval in R is measurable.

.4 Let f be a nonnegative summable function. Prove that for each " > 0
there
R exists > 0 such that if A is an integrable set and (A) < ; then
A
f < ":
.5 Let B be the smallest collection of subsets of R that satises the following
properties.

Any open subset of R is in B:

If A 2 B; then RnA 2 B:
The union of a sequence of elements of B belongs to B:

The elements of B are called Borel sets. Prove that any Borel set is
measurable.

If is a binary relation on R and f; g are functions dened almost everywhere

on R; we dene
[[f g]] = fx 2 R : f (x) g(x)g :
So, for example,
[[f > g]] = fx 2 R : f (x) > g(x)g :
We also use analogous notations such as

[[a 6 f < b]] = fx 2 R : a 6 f (x) < bg :

Just as the measurability of a set is related to that of a corresponding (char-

acteristic) function, so the measurability of a function is related to that of certain
associated sets.

Proposition 28 Let f be a real-valued function dened almost everywhere.

Then f is measurable if and only if [[f > r]] is measurable for each r 2 R:

35
 Proof. Suppose that f is measurable, let r 2 R, and for each positive
integer n dene
(f r)+
fn = 1 :
n + (f r)+
Since the functions t t+ and
t
t 1
n +t

are continuous on R and R0+ ; respectively, we see from Exercises (5.1, 3) and
Proposition 27 that fn is measurable. But

lim fn = [[f > r]] a:e:;

n!1

so [[f > r]] is measurable, by Exercise (5.2, 3).

Now assume, conversely, that [[f > r]] is measurable for each r 2 R: Given
a positive integer n; choose real numbers

:::;r 2 ; r 1 ; r0 ; r1 ; r2 ; : : :

n
such that 0 < rk+1 rk < 2 for each k: Then

[[rk 1 < f 6 rk ]] = [[f > rk 1 ]]n[[f > rk ]]

is measurable, by Exercise (5.3, 1); let k denote its characteristic function. The
function
1
X
fn = rk 1 k
k= 1

is measurable: for it is the limit almost everywhere of the sequence of partial

sums of the series on the right-hand side, and Exercises (5.1, 2) and (5.2, 3)
apply. To each x in the domain of f there corresponds a unique k such that
rk 1 < f (x) 6 rk ; then

0 6 f (x) fn (x) 6 rk rk 1 <2 n

:

Hence the sequence (fn ) converges almost everywhere to f; which is therefore

measurable, again by Exercise (5.2, 3).

The exercises in the next set extend the ideas used in the proof of Proposition
28.

Exercises (5.4)

.1 Let f be a function dened almost everywhere on R: Prove that the fol-

lowing conditions are equivalent.

(i) f is measurable.

36
 (ii) [[f > r]] is measurable for each r.
(iii) [[f 6 r]] is measurable for each r:
(iv) [[f < r]] is measurable for each r:
(v) [[r 6 f < R]] is measurable whenever r < R:

.2 In the notation of the second part of the proof of Proposition 28, prove
that if fR is nonnegative
R and summable, then each fn is summable and
limn!1 fn = f:
.3 Let f be a nonnegative measurable function vanishing outside the interval
[a; b]. For the purpose of this exercise, we call a sequence (rn )1
n=0 of real
numbers admissible if r0 = 0 and there exists > 0 such that rn+1 rn <
P
1
for all n; and we say that the series rn (En ) corresponds to the
n=1
admissible sequence, where En ; whose characteristic function we denote
by n ; is the measurable set [[rn 1 6 f < rn ]]: Suppose that this series
converges. Let (rn0 )1 0
n=0 be any admissible sequence for f; and let n be
the characteristic function of En = [[rn 1 6 f < rn ]]. Prove that
0 0 0

P
1 P
1
(i) the series rn0 0
1 n and rn n converge almost everywhere to
n=1 n=1
summable functions,
P
1 P
1
(ii) rn0 1 0n 6 f 6 rn n almost everywhere,
n=1 n=1
P
1 P
1
(iii) the series rn0 1 (En0 ) and rn (En ) converge, and
n=1 n=1
P
1 P
1
(iv) rn0 1 (En0 ) 6 rn (En ):
n=1 n=1

P
1
Hence prove that if rn (En ) converges for at least one admissible
n=1 R
sequence (rn ); then f is summable, and f is both the inmum of the set
(1 )
X
rn (En ) : (rn ) is admissible, 8n (En = [[rn 1 6 f < rn ]])
n=1

and the supremum of the set

(1 )
X
rn 1 (En ) : (rn ) is admissible, 8n (En = [[rn 1 6 f < rn ]]) :
n=1

(Lebesgues original approach to his new theory of integration [7, 8] was

based on the ideas of this exercise. He rst dened notions of measure
of a set and measurable function. Given a bounded measurable function
f on a measurable subset E of a compact interval [a; b] ; he then formed

37
 P
1 P
1
sums analogous to rn (En ) and rn 1 (En ); and showed that the
n=1 n=1
inmum of sums of the rst type equals the supremum of sums of the
second; the common value of the inmum and supremum is precisely the
Lebesgue integral of f:)
.4 By a simple function we mean a nite sum of functions of the form c ;
where c 2 R and is the characteristic function of an integrable set. Let
f be a nonnegative summable function. Show that there exists a sequence
(fn ) of simple functions such that

(i) 0 6 fn 6 f for each n;

P
1
(ii) f = fn almost everywhere, and
n=1
R P
1 R
(iii) f= fn :
n=1

(First reduce to the case where f is nonnegative and vanishes outside a

compact interval. Then use the preceding exercise to construct fk induc-
R P
k
tively such that f fn < 2 k :)
n=1
This exercise relates our development to axiomatic measure theory, which
is based on primitive notions of a measurable subsetof a set X and the
measureof such a set, and in which the integral is often built up in the
following way. First, dene a function f : X ! R to be measurable if
[[f < ]] is a measurable set for each 2 R: Next, dene the integral of
P
N
a simple function cn An ; where the measurable sets An are pairwise
n=1
P
N
disjoint, to be cn (An ): If f is a nonnegative measurable function, then
n=1
dene its integral to be the supremum of the integrals of simple functions
s which satisfy 0 6 s 6 f on the complement of a set whose measure is 0:

Are all subsets of R measurable? No: the axiom of choice (Appendix) ensures
that non-measurable sets exist.3 To show this, following Zermelo, we dene an
equivalence relation on (0; 1) by

x y if and only if x y 2 Q:

Let x_ denote the equivalence class of x under this relation. By the axiom of
choice, there exists a function on the set of these equivalence classes such that

(x)
_ 2 x_ (x 2 (0; 1)):
3 Solovay has shown that there is a model of Zermelo-Fraenkel set theory, without the

Axiom of Choice, in which every subset of R is Lebesgue measurable.

38
Let
E = f (x)
_ : x 2 (0; 1)g :
Note that if (x) _ (x_ 0 ); then (x) _ 2 x_ 0 ; whence x0 (x) _ x0 x and
_ 2 x;
0
therefore x_ = x_ . Now let r1 ; r2 ; : : : be a one-one enumeration of Q \ ( 1; 1) ;
and for each n dene

En = E + rn = fy + rn : y 2 Eg :

We prove that

(a) for each x 2 (0; 1) there exists r 2 Q \ ( 1; 1) such that x 2 E + r;

(b) if rn < rm ; then Em \ En = ?:

First, observe that for each x 2 (0; 1) we have x (x);

_ whence x (x)
_ 2 Q\
( 1; 1) and therefore (a) holds. On the other hand, if rn < rm and x 2 Em \En ;
then there exist y; z 2 E such that

y + rm = x = z + rn :

Hence y z = rn rm 6= 0; so y z and y 6= z; which is absurd since y; z 2 E:

This proves (b).
Now suppose that E is measurable and hence integrable; then each En is
integrable and, by Exercise (2.3, 4), has measure (E). Since (En )n>1 is a
P
1
sequence of pairwise disjoint subsets of ( 1; 2), the partial sums of (En )
n=1
P
1
are bounded by 3; so (En ) converges. It follows from Exercise (5.3, 2) that
n=1
[ P
1 P
1
En is integrable and has measure (En ) = (E): This is impossible
n>1 n=1 n=1
0 1
[
unless (E) = 0; which must be the case. Hence @ En A = 0: But, by (a),
n>1
0 1
[ [
(0; 1) En ; so @ En A > 1: This nal contradiction shows that E is
n>1 n>1
not measurable.

6 The Lp Spaces
In this section we introduce certain innite-dimensional Banach spaces of sum-
mable functions that appear very frequently in many areas of pure and applied
mathematics. For convenience, we call real numbers p; q conjugate exponents
if p > 1; q > 1; and 1=p + 1=q = 1:
We begin our discussion with an elementary lemma.

39
Lemma 29 If x; y are positive numbers and 0 < < 1; then
x y1 6 x + (1 )y:
Proof. Taking u = x=y; consider
f (u) = u u 1+ :
0 1
We have f (u) = (u 1); which is positive if 0 < u < 1 and negative if
u > 1: Since f (1) = 0; it follows that f (u) 6 0 for all u > 0: This immediately
leads to the desired inequality.

Lemma 30 Let p; q be conjugate exponents, and f; g measurable functions on

p q
R such that jf j and jgj are summable. Then f g is summable, and Hlders
inequality
Z Z 1=p Z 1=q
fg 6
p q
jf j jgj (1)

holds.
R p p
Proof. We rst note that if jf j = 0; then jf j = 0 almost everywhere;
so
R f = 0; and therefore f g = 0, almost everywhere. Then f g is summable,
R q
f g = 0; and (1) holds trivially,
R as it does Ralso in the case where jgj = 0:
p q
Thus we may assume that jf j > 0 and jgj > 0: We then have, almost
everywhere,
p 1=p q 1=q
jf gj jf j jgj
R = R R q
p 1=p R q 1=q jf j
p
jgj
jf j jgj
p q
jf j jgj
6 R p + R q
p jf j q jgj
(where the last step uses Lemma 29), so
Z 1=p Z 1=q p q
jf j jgj
jf gj 6
p q
jf j jgj R p + R q : (2)
p jf j q jgj
Now, f g is measurable and the right-hand side of (2) is summable. Hence, by
Theorem 26, f g is summable and
Z Z Z 1=p Z 1=q
1 1
f g 6 jf gj 6
p q
jf j jgj + ;
p q
from which (1) follows.
Proposition 31 Let p > 1; and let f; g be measurable functions on R such that
p p p
jf j and jgj are summable. Then jf + gj is summable, and Minkowskis
inequality
Z 1=p Z 1=p Z 1=p
6
p p p
jf + gj jf j + jgj

holds.

40
 p
Proof. Clearly, we may assume that p > 1: Now, jf + gj is measurable, by
Exercise (2.3.3: 5). Since

jf + gj 6 (2 max fjf j ; jgjg) 6 2p (jf j + jgj )

p p p p

p
and the last function is summable, it follows from Theorem 26 that jf + gj
p 1
is summable. The functions jf j and jf + gj are measurable, by Exercise
(5.2, 4), and
q
p 1 p
jf + gj = jf + gj 2 L1 (R):
p 1
Thus, by Lemma 30, jf + gj jf j is summable and
Z Z 1 p 1 Z 1=p
jf j 6
p 1 p p
jf + gj jf + gj jf j :

p 1
Similarly, jf + gj jgj is summable and
Z Z 1 p 1 Z 1=p
jgj 6
p 1 p p
jf + gj jf + gj jgj :

It follows that
Z Z
p p 1
jf + gj = jf + gj jf + gj
Z Z
6 jf + gj
p 1 p 1
jf j + jf + gj jgj
Z 1 Z Z !
1 p 1=p 1=p
6
p p p
jf + gj jf j + jgj ;

from which we easily obtain Minkowskis inequality.

Exercises (6.1)

.1 Prove Hlders inequality

N N
!1=p N
!1=q
X X X
xn yn 6
p q
jxn j jyn j
n=1 n=1 n=1

and Minkowskis inequality

N
!1=p N
!1=p N
!1=p
X X X
6
p p p
jxn + yn j jxn j + jyn j
n=1 n=1 n=1

for nite sequences x1 ; : : : ; xN and y1 ; : : : ; yN of real numbers.

41
 .2 A sequence (xn ) of real numbers is called p-power summable if the series
P
1
p
jxn j converges. Prove that if (xn ) is p-power summable and (yn ) is
n=1
q-power summable, where p; q are conjugate exponents, then
P
1
(i) xn yn is absolutely convergent, and
n=1
(ii) Hlders inequality holds in the form
1 1
!1=p 1
!1=q
X X X
xn yn 6
p q
jxn j jyn j :
n=1 n=1 n=1

Prove also that if (xn ) and (yn ) are both p-power summable, then so is
(xn + yn ) ; and Minkowskis inequality
1
!1=p 1
!1=p 1
!1=p
X X X
6
p p p
jxn + yn j jxn j + jyn j
n=1 n=1 n=1

holds.
.3 Let p > 1; and let lp denote the set of all p-power summable sequences,
taken with termwise addition and multiplication-by-scalars. Prove that
1
!1=p
X p
(xn )n>1 = jxn j
p
n=1

denes a norm on lp : (We dene the normed space lp (C) of p-power sum-
mable sequences of complex numbers in the obvious analogous way.)

Let X be a measurable subset of R; and p > 1: We dene Lp (X) to be the

set of all functions f dened almost everywhere on R such that f is measurable,
p
f vanishes almost everywhere on RnX; and jf j is summable. Taken with the
pointwise operations of addition and multiplication-by-scalars, Lp (X) becomes
a linear space. If we follow the usual practice of identifying two measurable
functions that are equal almost everywhere, then
Z 1=p
p
kf kp = jf j

is a norm, called the Lp -norm, on Lp (X) : the only property of a norm that
requires nontrivial verication is the triangle inequality, which in this case is
Minkowskis inequality, disposed of in Proposition 31.
When X = [a; b] is a compact interval, we write Lp [a; b] rather than Lp ([a; b]) :

Exercises (6.2)
In these exercises, X is a measurable subset of R:

42
 .1 Let X be summable and 1 6 r < s: Prove the following.
r
(i) Ls (X) Lr (X). (Note that if f 2 Ls (X); then jf j 2 Ls=r (X):)
(ii) The linear mapping f f of Ls (X) into Lr (X) is bounded and has
1
s 1
norm 6 (X)r :

.2 Let 1 6 r 6 t 6 s < 1, r 6= s;
1 1 1 1
t s r t
= 1 1
; = 1 1
:
r s r s
and f 2 Lr (X) \ Ls (X): Prove that f 2 Lt (X) and

kf kt 6 kf kr kf ks :
t t
(Consider jf j jf j :)
.3 Prove that the step functions that vanish outside X form a dense subspace
of Lp (X) for p > 1: (First consider the case where X is a compact interval.)
.4 Clarksons inequalities: Let p; q be conjugate exponents, and let f; g 2
Lp (X): Prove that if 1 < p < 2; then
q 1
> kf + gkp + kf
p p q q
2 kf kp + kgkp gkp

and
p 1
gkp > 2 kf kp + kgkp
p p q q
kf + gkp + kf ;

and that the reverse inequalities hold if p > 2:

Theorem 32 The RieszFischer theorem: Lp (X) is a Banach space for

all p > 1: More precisely, if (fn ) is a Cauchy sequence in Lp (X); then there
exist f 2 Lp (X) and a subsequence (fnk )k>1 of (fn ) such that

(i) limn!1 kf fn kp = 0; and

(ii) fnk ! f almost everywhere on X as k ! 1:

Proof. We illustrate the proof with the case X = R and p > 1: Given a
Cauchy sequence (fn ) in Lp (R), choose a subsequence (fnk )k>1 such that

kfm fn kp 6 2 k
(m; n > nk ):

Then
fnk+1 fnk p
62 k
:

43
Writing q = p=(p 1); we see from Lemma 30 that for each positive integer N;
fnk+1 fnk is summable over [ N; N ]; and
Z Z 1=q
fnk+1 fnk [ N;N ] 6 fnk+1 fnk p [ N;N ]

62 k
(2N )1=q ;

so the series
1 Z
X
fnk+1 fnk [ N;N ]
k=1

converges. It follows from Lebesgues series theorem that there exists a null set
EN such that the series
1
X
fnk+1 (x) fnk (x) [ N;N ] (x)
k=1

P
1
converges for all x 2 RnEN ; and the function fnk+1 fnk [ N;N ] is sum-
k=1
mable. Then
1
[
E= EN
N =1

is a null set, and

1
X
f (x) = lim fnk (x) = fn1 (x) + fnk+1 (x) fnk (x)
k!1
k=1

exists for all x 2 RnE. The function f so dened is measurable, by Exercise

(5.2, 3). Since

kfnk kp 6 kfn1 kp + kfnk fn1 kp 6 kfn1 kp + 1

2

p
for all k; we see from Fatous lemma (Exercise (2.6, 5)) that jf j is summable
and hence that f 2 Lp (R). Moreover, if n > ni ; then by applying Fatous lemma
1
to the sequence (jfnk fn j)k=i we see that

kf fn kp = lim kfnk fn kp 6 2 i :
k!1

Hence limn!1 kf fn kp = 0:

Exercises (6.3)

.1 Prove the RieszFischer theorem for a general measurable set X R.

Prove it also in the case p = 1:
.2 Prove that the space lp is complete for p > 1: (See Exercise (6.1, 3).)

44
7 Double Integrals
We next illustrate multiple Lebesgue integration by considering double integrals
By an interval in R2 we mean the Cartesian product I J of two intervals
in R: We say that f : R2 ! R is astep function if there exists a nite set of
non-overlapping bounded intervals Ik Jk (k = 1; ; n) such that
S
n
B f (x) = 0 for all x in the complement of Ik Jk ; and
k=1

B for each k; f has a constant value ck on Ik Jk :

We dene the double integral of such a function f to be

Z Z n
X
f= ck jIk j jJk j
k=1

where, we recall, jIk j denote the length of the interval Ik : Many fact, such
as the following, about the double integral of a step function are established
analogously to the corresponding facts for integrals of step functions on R; in
such cases we state the facts without proof.
2
Proposition 33 Let f and g be two stepR functions
R R Ron R such that f (x) = g(x)
for all but nitely many points x: Then f= g:

Corollary 34 The double integral of a step function f on R2 depends only on

f and not on the choice of the nite set of non-overlapping intervals on each of
which f is constant.

Proposition 35 Let f and g be step functions on R2 , and let ; 2 R: Then

f + g is a step function, and the double integral is a linear function:
Z Z Z Z Z Z
( f + g) = f+ g:

Moreover, f g; max ff; gg ; min ff; gg ;

f + = max ff; 0g ;

and
f = max f f; 0g
are step functions. R R if f (x) 6 g(x) for all but nitely many (possibly no)
R R Finally,
points x, then f6 g:

Proposition 36 Let (fn ) be a sequence of step functions such that

(i) 0 6 fn+1 6 fn for each n and

(ii) limn!1 fn (x) = 0.

45
 RR
Then limn!1 fn = 0:

As in the one-variable case, a sequence (fn ) of step functions on R2 is called

aR Riesz
R sequence of step functions if f1 6 f2 6 R and
R the sequence
fn n>1 is bounded above. The sequence of integrals fn is then both
increasing and bounded above, and so converges to a limit l 2 R:
A subset A of R2 is called a null set if there exists a Riesz sequence (fn ) of
step functions such that fn (x) " 1 for each x 2 A: It follows immediately that
every subset of a null set is also a null set. A countable union of null sets is a
null set; and a subset A of R2 is null if and only if it has measure zero, in the
sense that for each " > 0 there exists a sequence (In Jn )n>1 of intervals in R2
[ P1
such that A In Jn and jIn j jJn j < ":
n>1 n=1

We say that a property P (x) of real numbers holds almost everywhere if

there exists a null set A such that P (x) holds for all x 2 R2 nA; we then write
P (x) a:e:. By the denition of null set a Riesz sequence of step functions
converges almost everywhere.
We denote by E " R2 the set of functions f that are limits almost every-
where of someRRiesz
R sequence (f
R nR). The double integral of such a function f is
dened to be f = limn!1 fn ; and is independent of the Riesz sequence
(fn ) converging almost everywhere to f:
Now let
L R2 = f1 f2 : f1 ; f2 2 E " R2 :
The elements of L are called (Lebesgue) summable functions. If f1 ; f2 2 E "
and f = f1 f2 ; dene the (Lebesgue) double integral of f to be
Z Z Z Z Z Z
f= f1 f2 :

2
As in the one-variable case, this is a good
R Rdenition; L R is a linear 2space un-
der pointwise algebraic operations, and is a linear mapping of L R into R;
if f; g are summable functions dened almost R everywhere
R on R2 , then max ff; gg,
min ff; gg ; and jf j are summable, and f 6 jf j ; and the Lebesgue dou-
ble integral is translation invariant, in the sense that if f 2 L R2 and
yR R2 R2 ; then
R R the function fy dened by fy (x) = f (x + y) is summable, and
fy = f:
We say that f 2 L R2 is summable over the subset A of R2 if the
function f A belongs to L R2 ; we then write
Z Z Z Z
f= f A:
A

If f is summable over the subsets A; B of R2 ; then it is summable over A [ B

and A \ B: Any element of L R2 is summable over any interval in R2 :
With all the foregoing denitions at hand, we can modify the arguments
used in the one-variable case to prove double-integral analogues of Lebesgues

46
series theorem, Beppo Levis Theorem, Fatous lemma, Lebesgues dominated
convergence theorem, ... We can also dene measurability of functions dened
almost everywhere on R2 and of subsets of R2 ; and then prove analogues of
Propositions 2528.
Our main aim in this section is to deal with the relation between double
integration and repeated integration, familiar from second-year calculus courses.
First, given a two-variable function f; we dene a one-variable function fx :
R!R by fx (y) = f (x; y); likewise, if (fn ) is a sequence of two-variable functions,
we dene the corresponding one-variable functions fn;x by fn;x (y) = fn (x; y):

Lemma 37 If f is a step function on R2 ; then

(i) for each x 2 R; fx is a step function;

R
(ii) g(x) = fx is a step function on R; and
RR R R R
(iii) f= g= fx :

Proof. The general case easily follows from that in which f is a constant c
on a product I J of open intervals in R; and R is 0 elsewhere. Taking that case,
for each x 2
= I we have fx = 0 and therefore fx = 0; while for each x 2 I;
8
< c if y 2 J
fx (y) =
:
0 if y 2=J
R
and so, by denition of the integral on R; fx = c jJj : Thus (i) holds, g is well
dened, and 8
< c jJj if x 2 I
g(x) =
:
0 if x 2=I
Clearly, g is a step function on R; and
Z Z Z
g = c jJj jIj = f;

by denition of the double integral.

Lemma 38 If A is a null set in R2 ; then there exists a null set B in R such

that for each x 2 RnB;

A(x) = fy 2 R : (x; y) 2 Ag

is a null set in R:

Proof. Choose a sequence (fn )n>1 of step functions in R2 and a positive

number M such that

47
 B f1 6 f2 6 ;
RR
B fn 6 M for each n; and
B fn (x; y) ! 1 for all (x; y) 2 A:

It follows from the rst and third of these properties that for each x 2 R the
sequence (fn;x )n>1 is increasing, and fn;x (y) ! 1 for all y 2 A(x): On the
other hand, by Lemma 37, fn;x is a step function on R; the function
Z
gn : x fn;x
R RR
is a step function on R; and gn = fn 6 M: Thus (gn )n>1 is a Riesz
sequence of step functions on R: Hence there exists a null subset B of R such
that (gn (x))n>1 converges for all x 2 RnB: In particular, for each such x there
R
exists Mx > 0 such that fn;x 6 Mx for all n: Thus (fn;x )n>1 is a Riesz
sequence of step functions on R and therefore converges almost everywhere in
R: Since this sequence diverges on A(x); we conclude that A(x) is a null set.

This brings us to the fundamental theorem of double integration, Fubinis

theorem.

Theorem 39 If f is summable over R2 ; then there exist a summable function

g on R and a null set S in R such that
R
(i) for each x 2 RnS; fx is summable over R and g(x) = fx ;
R RR
(ii) g = f:

Proof. It is enough to consider the case where f 2 E " R2 : Choose a

Riesz sequence (fn ) of step functions on R2 and a null set A R RR2 suchR that
R
limn!1 fn (x; y) = f (x; y) for all (x; y) 2 R2 nA; and limn!1 fn = f:
By Lemma 37, for each n the mapping
Z
gn : x fn;x
R RR R RR
exists as a step function on R; and gn = fn : Hence limn!1 gn = f.
Since gn 6 gn+1 and a convergent sequence is bounded, we see that (gn ) is a
Riesz sequence of step functions on R; so there exist g 2 E " and a null
R set RS1 R
such that limn!1 gn (x) = g(x) for each x 2 RnS1 ; and limn!1 gn = g:
Now, by Lemma 38, there exists a null set S2 R such that A(x) is a null set
for each x 2 RnS2 : Then S = S1 [ S2 is a null
R set in R; fx (y) = limn!1 fn (x; y)
for each x 2 RnS and all y 2 RnA(x); and fn n>1 is a convergent, and hence
bounded, sequence in R: It follows that for each x 2 RnS; fx 2 E " and
Z Z
fx = lim fn;x = lim gn (x) = g(x):
n!1 n!1

48
This proves (i). Moreover, we have
Z Z Z Z Z Z
fx = g = lim gn = f;
n!1

which proves (ii).

Corollary 40 If f is summable over R2 ; then there exist a summable function

h on R and a null set T in R such that

B for eachR y 2 RnT; the function x f (x; y) is summable over R and

h(y) = (x f (x; y)) ;
R RR
B h= f:

Proof. Exercise.

Here is a partial converse of Fubinis theorem.

Theorem 41 Let f be a nonnegative measurable function on R2 . Suppose that

there exist a summable function g on R and a null setR S R such that for each
x 2 RRnS;
R theR function fx is summable and g(x) = fx : Then f is summable
and f = g:

Proof. For each n dene the step function n by

8
< n if jxj 6 n and jyj 6 n
n (x; y) =
:
0 otherwise,

and dene
fn = min ff; ng :

Then fn is measurable and dominated by the summable function n (this is

R R we need f > 0); so fn is summable. We prove that the sequence
where
fn n>1 is bounded. To this end, we apply Fubinis theorem to obtain,
for each n; a summable function gnR on R and a null set
R An RRR such that for
each x 2 RnAn ; fn;x is summable, fn;x = gn (x); and gn = fn : Then
[
A= An
n>1

is a null set in R; as is S [ A: Moreover, for each n and each x 2 Rn (S [ A) ;

Z Z
gn (x) = fn;x 6 fx = g(x):
RR R R
Hence fn = gn 6 g. Since fn 6 fn+1 ; we see that (fn )n>1 is a Riesz
sequence of summable functions on R2 :

49
 Now, fn (x; y) ! f (x; y) for all (x; y) in the domain of f; the complement of
a set of measure zero: So, by Beppo Levis Theorem, f is summable. Finally, by
Fubinis theorem, there exist a summable function h on R and R a null set C R
such
R that
RR for each x 2 RnC; fx is summable and h(x) = fx ; and such that
h= f ; whence h(x) = g(x) for all x 2 Rn (S [ C) and
Z Z Z Z
g= h= f:

Exercises (7.1)
.1 Prove Corollary 40.
.2 Let f be a measurable function on R2 for which there exist a summable
functionR g on R and a null set A R such that jfx j is summable and
g(x) = jfx j for each x 2 RnA: Prove that f is summable.
.3 For each 2 R the function f : R2 ! R is dened by
8
< x (1 xy) if 0 6 x < 1; 0 6 y < 1
f (x; y) =
:
0 otherwise.
R
Find the values of for which f is summable, and evaluate f for those
values.

8 The Vitali covering theorem

The outer measure of a subset A of R is the quantity
8 9
<X =
(A) = inf jIn j : (In )n>1 is a cover of A by bounded open intervals ,
: ;
n>1

which we take as 1 if the set on the right-hand side is unbounded.4 If (A) 2

R; we say that A has nite outer measure. Note that since, for any sequence
P
1
(In )n>1 of bounded open intervals that covers A; the terms of the series jIn j
n=1
are all positive, the (possibly innite) sum of the series does not depend on
the order of those terms; this is a special case of Riemanns theorem on the
rearrangement of absolutely convergent series ([3], page 34).
Note that A has outer measure zero if and only if for each " > [0 there
exists a sequence (In )n>1 of bounded open intervals such that A In and
n>1
P
1
jIn j < " in other words, if and only if A is a null set.
n=1
4 It is possible to give a precise meaning to this use of 1 as an extended real number;

see pages 128129 of [3].

50
Exercises (8.1)
P
1
.1 Show that for each A R; (A) is the inmum of jIn j taken over all
n=1
covers of A by sequences (In )n>1 of bounded, but not necessarily open,
intervals.
.2 Prove that if a subset A of R has nite outer measure, then for each " > 0
there exists a sequence (In ) of disjoint bounded open intervals such that
[ P
1
A In and jIn j < (A) + ": (Recall that a nonempty subset of
n>1 n=1

R is open if and only if it is the union of a sequence (Jn )n>1 of pairwise

disjoint sets, each of which is either empty or an open interval.)
.3 Show that (?) = 0; and that if A B; then (A) 6 (B):
.4 Prove that for each a 2 R, (fag) = 0:
.5 Let A be a subset of R; and E A a set of measure zero. Show that
(AnE) = (A):
.6 Let A be a subset of a compact interval I: Prove that (A) + (InA) >
jIj : (Perhaps surprisingly, we cannot replace inequality by equality in this
result; this is a consequence of the existence of non-measurable sets.)
.7 Let (An ) be a sequence of subsets of R. Show that
0 1
[ X1
@ An A 6 (An );
n>1 n=1

where the right-hand side is taken as 1 if either any of its terms is 1

or the series diverges. (If one of the sets An has innite outer measure,
then the inequality is trivial. If each An has nite outer measure, then for
each positive integer n and each " > 0 there exists a sequence (In;k )k>1 of
S
1 P1
bounded open intervals such that An In;k and jIn;k j < (An ) +
k=1 k=1
n
2 ":)
Prove that if also the sets An are pairwise disjoint, then
0 1
[ 1
X
@ An A = (An ):
n>1 n=1

.10 Prove that a subset A of R has nite outer measure if and only if l =
limn!1 (A \ [ n; n]) exists, in which case (A) = l:
.11 Prove that is translation invariant that is, (A + t) = (A) for each
A R and each t 2 R, where A + t = fx + t : x 2 Ag:

51
Proposition 42 The outer measure of any interval in R equals the length of
the interval.
Proof. Consider, to begin with, a bounded closed interval [a; b]: For each
" > 0 we have [a; b] (a "; b + ") and therefore
([a; b]) 6 j(a "; b + ")j = b a + 2":
Since " > 0 is arbitrary, we conclude that ([a; b]) 6 b a: To prove the reverse
inequality, let (In ) be any sequence of bounded open intervals that covers [a; b]:
Applying the HeineBorelLebesgue Theorem (1.4.6), and re-indexing the terms
In (which we can do without loss of generality), we may assume that for some
N;
[a; b] I1 [ I2 [ [ IN :
There exists an interval Ik1 , where 1 6 k1 6 N; that contains a; let this interval
be (a1 ; b1 ): Either b < b1 ; in which case we stop the procedure, or else b1 6 b:
In the latter case, b1 2 [a; b]n(a1 ; b1 ); so there exists an interval Ik2 ; where 1 6
k2 6 N and k2 6= k1 ; that contains b1 ; call this interval (a2 ; b2 ): Repeating this
argument, we obtain intervals (a1 ; b1 ); (a2 ; b2 ); : : : in the collection fI1 ; : : : ; IN g
such that for each i; ai < bi 1 < bi : This procedure must terminate with the
construction of (aj ; bj ) for some j 6 N: Then b 2 (aj ; bj ); so
N
X j
X
jIn j > (bi ai )
n=1 i=1
= bj (aj bj 1 ) (aj 1 bj 2)
(a2 b1 ) a1
> bj a1 :
P
1
It follows that jIn j > b a and therefore, since (In ) was any sequence of
n=1
bounded open intervals covering [a; b]; that ([a; b]) > b a: Coupled with the
reverse inequality already established, this proves that ([a; b]) = b a: The
proof for other types of interval is left as the next exercise.

Exercises (8.2)
.1 Complete the proof of Proposition 42 in the remaining cases.
.2 Let fI1 ; : : : ; IN g be a nite set of bounded open intervals covering Q\[0; 1]:
PN
Prove that jIn j > 1: (Given " > 0; extend each In , if necessary, to en-
n=1
sure that it has rational endpoints and that the total length of the intervals
is increased by at most ": Then argue as in the proof of Proposition 42.)
.3 Let X be a subset of R with nite outer measure. Prove that for each
" > 0 there exists an open set A X with nite outer measure, such
that (A) < (X) + ": (Use Exercise (8.1, 1).) Show that if X is also
bounded, then we can choose A to be bounded.

52
 .4 Let A; B be subsets of R with nite outer measure. Prove that (A [ B) 6
(A) + (B):

Let X be a subset of R; and V a family of non-degenerate intervals. We say

that V is a Vitali covering of X if for each " > 0 and each x 2 X there exists
I 2 V such that x 2 I and jIj < ":The fundamental result about such coverings
is the Vitali covering theorem.

Theorem 43 Let V be a Vitali covering of a set X R with nite outer

measure. Then for each " > 0 there exists a nite set fI1 ; : : : ; IN g of pairwise
disjoint intervals in V such that
N
!
[
Xn In < ":
n=1

We postpone the proof of this very useful theorem until we have dealt with
some auxiliary exercises.

Exercises (8.3)

.1 Let V be a Vitali covering of a subset X of R; x a point of X; and A

an open subset of R containing X: Show that for each " > 0 there exists
I 2 V such that x 2 I; I A; and jIj < ":
.2 Let I1 ; : : : ; IN be nitely many closed intervals belonging to a Vitali cover-
S
N
ing V of a subset X of R with nite outer measure, and let x 2 Xn In :
n=1
Show that for each " > 0 there exists I 2 V such that x 2 I; jIj < "; and
S
N
I is disjoint from In :
n=1

We are now able to give the proof of the Vitali covering theorem.

Proof. If necessary replacing the intervals in I by their closures, we may

assume that V consists of closed intervals. Referring to Exercise (8.2, 2), choose
an open set A X with nite outer measure. In view of Exercise (8.3,1), we
may assume without loss of generality that

I A for each I 2 V: (2)

Choosing any interval I1 in the covering V; we construct, inductively, an increas-

ing binary sequence ( n )n>1 with 1 = 0; and a sequence (In )n>1 of pairwise
disjoint intervals in V; with the following properties for each n > 2 :

53
 (i) If n = 0; then
( n[1
)
1
jIn j > sup jIj : I 2 V and I \ Ik = ? ;
2
k=1

n[1
(ii) If n = 1; then In = In 1 and X Ik :
k=1

Assume that we have constructed 1 ; : : : ; n and I1 ; : : : ; In with the applicable

properties: If n = 1; then we set n+1 = 1 and In+1 = In : If, as we now assume,
Sn Sn
n = 0; then either X Ik and so Xn Ik = 0; in which case we
k=1 k=1
S
n
set n+1 = 1 and In+1 = In ; or else X 6 Ik : In the latter event, Exercise
k=1
(8.3, 2) shows that the set
( n
)
[
S := jIj : I 2 V; I \ Ik = ?
k=1

is nonempty. Since, by (2), S is bounded above by (A); it follows that sup S

exists; moreover, as each I 2 V is non-degenerate, sup S > 0: To complete our
Sn
inductive construction, we now choose In+1 2 V such that In+1 \ Ik = ?
k=1
and jIn+1 j > 21 sup S; and we set n+1 = 0:
If n = 1 for some n; then we are through. So we may assume that n = 0
for all n; and hence that the construction produces an innite sequence (In )n>1
P
1
of pairwise disjoint elements of V. Since the partial sums of the series jIn j
n=1
are bounded by (A); the series converges. Given " > 0; we can therefore nd
N such that
1
X "
jIn j < :
5
n=N +1

For each n > N let xn be the midpoint of In ; and let Jn be the closed interval
with midpoint xn and length 5 jIn j : It su ces to prove that
N
[ 1
[
Xn In Jn : (3)
n=1 n=N +1

For then
N
! 1 1
[ X X
Xn In 6 jJn j = 5 jIn j < ":
n=1 n=N +1 n=N +1

54
 S
N
To prove (3), consider any x 2 Xn In : By Exercise (8.3,2), there exists
n=1
S
N
J 2 V such that x 2 J and J \ In = ?: We claim that J \ Im is nonempty
n=1
for some m > N: If this were not the case, then for each m we would have
S
m
J\ In = ? and therefore
n=1
( m
)
[
jJj 6 sup jIj : I 2 V; I \ Ik = ?
k=1
< 2 jIm+1 j ! 0 as m ! 1:
P
1
(For the last step, recall that jIm j is convergent.) It would then follow that
m=1
jJj = 0; which is absurd as V contains only non-degenerate intervals. Thus

= minfm > N : J \ Im 6= ?g

S1
is well dened, J \ In = ?; and therefore
n=1
( )
[1
jJj 6 sup jIj : I 2 V; I \ Ik = ? < 2 jI j :
k=1

Since x 2 J and J \ I 6= ?; we see that

jx x j 6 jJj + 1
2 jI j < 2 jI j + 1
2 jI j = 5
2 jI j :

Hence x 2 J : This establishes (3) and completes the proof.

In the remainder of this section we apply the Vitali covering theorem in the
proofs of some fundamental results in the theory of dierentiation and integra-
tion.
Let I be an interval in R. We say that a mapping f : I ! R is absolutely
n
continuous if for each " > 0 there exists > 0 such that if ([ak ; bk ])k=1 is a nite
Pn
family of non-overlapping compact subintervals of I such that (bk ak ) < ;
k=1
P
n
then jf (bk ) f (ak )j < ": On the other hand, if a; b 2 I and a < b; then we
k=1
dene the variation of f on the interval [a; b] to be
(n 1 )
X
Tf (a; b) = sup jf (xi+1 ) f (xi )j : a = x0 6 x1 6 6 xn = b ;
i=0

if this quantity exists as a real number; in that case we say that f has bounded
variation on [a; b] :

55
Exercises (8.4)

.1 Prove that an absolutely continuous function on I is both uniformly con-

tinuous and bounded.
.2 Let f; g be absolutely continuous functions on I: Prove that the functions
f + g; f g; f (where 2 R); and f g are absolutely continuous, and that
if inf fjf (x)j : x 2 Ig > 0; then 1=f is absolutely continuous.

.3 Prove that if f is dierentiable, with bounded derivative, on an interval

I; then f is absolutely continuous.
.4 Let f have bounded variation on [a; b] : Prove that f is bounded on I; that

Tf (a; b) = Tf (a; x) + Tf (x; b)

for each x 2 [a; b] ; and that Tf (a; ) is an increasing function on I:

.5 Dene f : [0; 1] ! R by
8 2
< x sin x12 if 0 < x 6 1
f (x) =
:
0 if x = 0:

Prove that f is dierentiable at each point of [0; 1] but does not have
bounded variation on that interval.
.6 Prove that f : [a; b] ! R has bounded variation if and only if it can be
expressed as the dierence of two increasing functions. (For only ifnote
the last part of Exercise (8.4, 4).)
.7 Let f be absolutely continuous on a compact interval I = [a; b]: Prove
that f has bounded variation in I; that the variation function Tf (a; ) is
absolutely continuous on I; and that f is the dierence of two absolutely
continuous, increasing functions on I:

A simple corollary of the mean value theorem, one that su ces for many
applications, states that if f is continuous on [a; b] and jf 0 (x)j 6 M for all
x 2 (a; b); then jf (b) f (a)j 6 M (b a). Our rst application of the Vitali
covering theorem generalises this corollary, and can be regarded an extension of
the mean value theorem itself.

Proposition 44 Let f be an absolutely continuous mapping of a compact in-

terval I = [a; b] into R; and F a di erentiable-almost-everywhere increasing
mapping of I into R such that jf 0 (x)j 6 F 0 (x) almost everywhere on I: Then

jf (b) f (a)j 6 F (b) F (a): (4)

56
 Proof. Let E I be a set of measure zero such that jf 0 (x)j 6 F 0 (x) for
each x 2 X = InE: We may assume without loss of generality that a; b 2 E:
Given " > 0; choose > 0 as in the denition of absolute continuity. For each
x 2 X there exist arbitrarily small r > 0 such that [x; x + r] (a; b),

jf (x + r) f (x) f 0 (x)rj < "r;

jF (x + r) F (x) F 0 (x)rj < "r;

and therefore

jf (x + r) f (x)j 6 jf 0 (x)j r + "r

6 F 0 (x)r + "r
6 F (x + r) F (x) + 2"r:

The sets of the form [x; x + r] ; for such r > 0; form a Vitali covering of X:
By the Vitali covering theorem, there exists a nite, pairwise disjoint collection
N
([xk ; xk + rk ])k=1 of sets of this type such that
N
!
[
Xn [xk ; xk + rk ] < :
k=1

We may assume that xk + rk < xk+1 for 1 6 k 6 N 1: Thus

N
X1
x1 a+ (xk+1 xk rk ) + b xN rN < ;
k=1

and therefore
N
X1
jf (x1 ) f (a)j + jf (xk+1 ) f (xk + rk )j + jf (b) f (xN + rN )j < ":
k=1

It follows that
N
X1
jf (b) f (a)j 6 jf (x1 ) f (a)j + jf (xk+1 ) f (xk + rk )j
k=1
N
X
+ jf (b) f (xN + rN )j + jf (xk + rk ) f (xk )j
k=1

57
 N
X
<"+ (F (xk + rk ) F (xk ) + 2"rk )
k=1
N
X1
6 " + F (x1 ) F (a) + (F (xk+1 ) F (xk + rk ))
k=1
N
X
+ (F (xk + rk ) F (xk ) + 2"rk )
k=1
+ (F (b) F (xN + rN ))
N
X
= " + F (b) F (a) + 2" rk
k=1
< F (b) F (a) + "(1 + 2b 2a):

Since " > 0 is arbitrary, we conclude that (4) holds.

Exercises (8.5)

.1 Let f be absolutely continuous on I = [a; b] ; and suppose that for some

constant M; jf 0 j 6 M almost everywhere on I: Prove that jf (b) f (a)j 6
M (b a):
.2 Let f : [a; b] ! R be an absolutely continuous function such that f 0 (x) = 0
almost everywhere on I = [a; b] : Give two proofs that f is a constant
function. (For one proof use the Vitali covering theorem.)
.3 Let f; F be continuous on I = [a; b], and suppose there exists a countable
subset D of I such that jf 0 (x)j 6 F 0 (x) for all x 2 InD: Show that
jf (b) f (a)j 6 F (b) F (a): (We may assume that D is countably innite.
Let d1 ; d2 ; : : : be a one-one mapping of N+ onto D: Given " > 0, let X be
the set of all points x 2 I such that
0 1
X
jf ( ) f (a)j 6 F ( ) F (a) + " @ a+ 2 nA
fn:dn < g

for all 2 [a; x); and let s = sup X: Assume that s < b; and derive a
contradiction.)
.4 Let f be continuous on I = [a; b] ; and suppose there exists a countable
subset D of I such that f 0 (x) = 0 for all x 2 InD: Prove that f is constant
on I:
.5 Let C be the Cantor set. Show that [0; 1]nC is a countable union of non-
overlapping open intervals (Jn )n>1 whose lengths sum to 1; and that C
has measure zero.
P1 P1
For each x = an 3 n 2 C dene F (x)= an 2 n 1 : Show that
n=1 n=1

58
 (i) if x has two ternary expansions, then they produce the same value
for F (x), so that F is a function on C;
(ii) F is a strictly increasing, continuous mapping of C onto [0; 1] ;
(iii) C is uncountable; and
(iv) F extends to an increasing continuous mapping that is constant
on each Jn ; equals 0 throughout ( 1; 0]; and equals 1 throughout
[1; 1):

Prove that for each > 0 there exist nitely many points

a1 < 0 < b1 < a2 < < bN 1 < aN < 1 < bN

S
N
of [ 1; 2] such that C [an ; bn ] ;
n=1

N
X
(F (bn ) F (an )) = 1;
n=1

P
N
and (bn an ) < : (Thus F is increasing and continuous, but not
n=1
absolutely continuous, on [ 1; 2] :)
Finally, show that F 0 (x) = 0 for all x 2 [0; 1]nC; but F (1) > F (0):

The last two exercises deserve further comment. Consider a continuous

function F on [0; 1] whose derivative exists and vanishes throughout [0; 1]nE: If
E is countable, then Exercise (8.5, 4) shows that F is constant. On the other
hand, Exercise (8.5, 5) shows that if E is uncountable and of measure zero, then
F need not be constant; but if, in that case, F is absolutely continuous, then it
follows from Exercise(8.5, 2) that it is constant.
Although the derivative of a function f may not exist at a point x 2 R, one
or more of the following quantities the Dini derivates of f at x may:
f (x + h) f (x)
D+ f (x) = lim+ sup ;
h!0 h
f (x + h) f (x)
D+ f (x) = lim inf ;
h!0 + h
f (x + h) f (x)
D f (x) = lim sup ;
h!0 h
f (x + h) f (x)
D f (x) = lim inf :
h!0 h
We consider D+ f (x) to be undened if

either there is no h > 0 such that f is dened throughout the interval

[x; x + h]

59
 or else (f (x + h) f (x)) /h remains unbounded as h ! 0+ :

Similar comments apply to the other derivates of f:

Exercises (8.6)

.1 Prove that D+ f (x) > D+ f (x) and D f (x) > D f (x) whenever the
quantities concerned make sense.
.2 Prove that f is dierentiable on the right (respectively, left) at x if and
only if D+ f (x) = D+ f (x) (respectively, D f (x) = D f (x)):

.3 Let f be a mapping of R into R; and dene g(x) = f ( x): Prove that

for each x 2 R; D+ g(x) = D f ( x) and D g(x) = D+ f ( x):
.4 Let f : [a; b] ! R be continuous, and suppose that one of the four derivates
of f is nonnegative throughout (a; b): Prove that f is an increasing function
on [a; b]: (Show that x f (x) + "x is increasing for each " > 0:)
.5 Consider a function f : [a; b] ! R; and real numbers r; s with r > s:
Dene
E = x 2 (a; b) : D+ f (x) > r > s > D f (x) :
Let X be an open set such that E X and (X) < (E) + " (see
Exercise (8.1, 2)). Prove that the intervals of the form (x h; x) such
that x 2 E; h > 0; [x h; x] X; and f (x) f (x h) < sh form a Vitali
covering of E: Hence prove that for each " > 0 there exist nitely many
points x1 ; : : : ; xm of E; and nitely many positive numbers h1 ; : : : ; hm ;
such that the intervals Ji = (xi hi ; xi ) (1 6 i 6 m) form a pairwise
disjoint collection, !
m
[
Ji > (E) "
i=1

and
m
X
(f (xi ) f (xi hi )) < s ( (E) + ") :
i=1

Again applying the Vitali covering theorem, prove that there exist nitely
S
m
many points y1 ; : : : ; yn of E \ Ji ; and nitely many positive numbers
i=1
h01 ; : : : ; h0n ; such that

yk + h0k < yk+1 (1 6 k 6 n 1) ;

for each k there exists i such that (yk ; yk + h0k ) Ji ; and

n
X
(f (yk + h0k ) f (yk )) > r ( (E) 2") :
k=1

60
 Our next theorem shows, in particular, that the dierentiability of the func-
tion F can be dropped from the hypotheses of Proposition 44.

Theorem 45 An increasing function F : R ! R is di erentiable (and has

nonnegative derivative) almost everywhere. Moreover,

(i) F 0 is measurable, and

(ii) whenever a < b; F 0 is summable over [a; b] and satises
Z b
F 0 6 F (b) F (a):
a

Proof. To prove that F is dierentiable a.e., it su ces to show that the sets

S = x 2 R : D+ F (x) is undened ;
T = x 2 R : D+ F (x) > D F (x)

have measure zero. For, applying this and Exercise (8.6, 3) to the increasing
function x F ( x); we then see that D F (x) 6 D+ F (x) almost everywhere;
whence, by Exercise (8.6, 1)

D+ F (x) 6 D F (x) 6 D F (x) 6 D+ F (x) 6 D+ F (x) 2 R

almost everywhere. (Note that as F is increasing, D+ F (x) and D F (x) are

everywhere dened and nonnegative.) Thus the four Dini derivates of F are
equal almost everywhere. Reference to Exercise (8.6, 2) then completes the
proof.
Leaving S to the next set of exercises, we now show that T has measure
zero. Since T is the union of a countable family of sets of the form

E = x 2 (a; b) : D+ F (x) > r > s > D F (x) ;

where a < b and r; s are rational numbers with r > s, it is enough to prove that
such a set E has measure zero. Accordingly, x " > 0 and use Exercise (8.6, 5)
to obtain

(i) nitely many points x1 ; : : : ; xm of (a; b) ; and nitely many positive num-
bers h1 ; : : : ; hm ; such that the intervals Ji = (xi hi ; xi ) (1 6 i 6 m)
form a pairwise disjoint collection,
m
!
[
Ji > (E) ";
i=1

and
m
X
(F (xi ) F (xi hi )) < s ( (E) + ") ;
i=1

61
 S
m
(ii) nitely many points y1 ; : : : ; yn of E \ Ji ; and nitely many positive
i=1
numbers h01 ; : : : ; h0n ; such that

yk + h0k < yk+1 (1 6 k 6 n 1) ; (5)

for each k there exists i with (yk ; yk + h0k ) Ji ; and

n
X
(F (yk + h0k ) F (yk )) > r ( (E) 2") :
k=1

For each i with 1 6 i 6 m let

Si = fk : (yk ; yk + h0k ) Ji g :

Since F is increasing, it follows from (5) that

X
(F (yk + h0k ) F (yk )) 6 F (xi ) F (xi hi ):
k2Si

Thus, as the intervals Ji are disjoint,

m
X n
X
(F (xi ) F (xi hi )) > (F (yk + h0k ) F (yk )) ;
i=1 k=1

so that
s( (E) + ") > r ( (E) 2") :
Since " > 0 is arbitrary, it follows that s (E) > r (E): But r > s; so we must
have (E) = 0:
For each n write
1
Fn (x) = F x+ (x 2 R)
n
and
fn = n (Fn F):
Note that, being an increasing function, F is Riemann integrable, and therefore
summable, over any proper compact interval [a; b] in R; whence F; Fn and fn
are summable over [a; b] : Let a 6 < b; and choose a positive integer N such
that + N1 < b: For all n > N we have
Z Z Z
fn = n Fn n F
a a a
Z 1
+n Z
=n F n F
1
a+ n a
Z 1
+n Z 1
a+ n
=n F n F;
a

62
where we have used Exercise (2.3, 4) to produce the second-last line. Now, F is
increasing and + n1 < b; so
Z 1
+n Z 1
+n
n F 6n F (b) = F (b):

On the other hand,

Z 1
a+ n Z 1
a+ n
n F >n F (a) = F (a):
a a

It follows that Z
fn 6 F (b) F (a) (n > N ) :
a
Next we note that since fn (x) ! F 0 (x) almost everywhere, F 0 is measurable.
Also, fn > 0; so Fatous lemma (Exercise (2.6, 5)) can be applied, to show that
F 0 is summable over [a; ] and
Z Z
F 6 lim inf
0
fn 6 F (b) F (a):
a a

Since
F 0 [a;b 1
] (x) ! F
0
[a;b] (x) as k ! 1
k

for all x 2 [a; b]; and, as is easily conrmed, F 0 [a;b 1 ] is a Riesz sequence
k k>1
of summable functions, we now see from Beppo Levis Theorem that
Z b Z Z b 1
n
F 0 = lim F 0 [a;b = lim F 0 6 F (b) F (a);
n]
1
a n!1 n!1 a

as we wanted.

Fubinis series theorem, our next result, provides a good application of

Theorem 45.

Theorem 46 Let (Fn )n>1 be a sequence of increasing continuous functions on

P
1
R such that F (x) = Fn (x) converges for all x 2 R: Then almost everywhere,
n=1
P
1 P
1
F is di erentiable, Fn0 (x) converges, and F 0 (x) = Fn0 (x):
n=1 n=1

Proof. Fix real numbers a; b with a < b: It su ces to prove that F 0 (x) =
P
1
Fn0 (x) almost everywhere on I = [a; b]: for then we can apply the result to
n=1
the intervals [ n; n] as n increases through N+ . If necessary replacing Fn by
Fn Fn (a); we may assume that Fn (a) = 0: Write

sn (x) = F1 (x) + + Fn (x) (x 2 I)

63
 P1
and note that F sn = k=n+1 Fk is increasing and nonnegative on I. By
Theorem 45, sn is dierentiable on InAn for some set An of measure zero;
likewise, F (which is clearly increasing) is dierentiable on InA0 for some set
A0 of measure zero. Then
1
[
A= An
n=0

has measure zero. Since both F sn+1 and sn+1 sn are increasing functions,
for each x 2 InA we have

s0n (x) 6 s0n+1 (x) 6 F 0 (x): (6)

P
1
It follows from the monotone sequence principle that Fn0 (x) converges to a
n=1
sum 6 F 0 (x):
Now choose an increasing sequence (nk )k>1 of positive integers such that for
each k;
0 6 F (b) snk (b) 6 2 k :
Since F snk is an increasing function, for each x 2 I we obtain the inequalities

0 6 F (x) snk (x) 6 2 k

:
P
1 P
1
k
Hence (F (x) snk (x)) converges, by comparison with 2 : Applying the
k=1 k=1
rst part of the proof with Fk replaced by F snk ; we now see that, almost
P
1
everywhere on I; F 0 (x) s0nk (x) converges and therefore
k=1

lim F 0 (x) s0nk (x) = 0:

k!1

It follows from (6) that

1
X
F 0 (x) = lim sn (x) = Fn0 (x)
n!1
n=1

almost everywhere on I:

Fubinis series theorem is a crucial tool in a development of the Lebesgue

integral as an antiderivative, a development due to Riesz. for details of this, see
[9] or [3].

Exercises (8.7)

.1 Let f be an increasing function on [a; b], and for each positive integer n
dene
Sn = x 2 (a; b) : D+ f (x) > n :

64
 Prove that
1
(InSn ) < n (f (b) f (a))
and hence that the set of those x 2 (a; b) at which D+ f (x) is undened
has measure zero. (Use the Vitali covering theorem to show that there
exist nitely many points x1 ; x2 ; : : : ; xm of (a; b); and positive numbers
h1 ; h2 ; : : : ; hm ; such that xk + hk < xk+1 and f (xk + hk ) f (xk ) > nhk :)
.2 Let E be a bounded subset of R that has measure zero, and let a be a
lower bound for E: For each positive integer n choose a bounded open set
An E such that (An ) < 2 n ; and dene
8
< 0 if x < a
fn (x) =
:
(An \ [a; x]) if x > a:

Show that
P
1
(i) f = fn is an increasing continuous function on R;
n=1
(ii) D+ f (x) is undened for each x 2 E:

.3 Let f be a bounded function that is continuous almost everywhere on a

compact interval I. Let M be a bound for jf j on I; let E I = [a; b] be a
set of measure zero such that f is continuous on X = InE; and let " > 0:
We may assume that a; b 2 E: For each x 2 X there exist arbitrarily small
r > 0 such that [x; x + r] I and
"
jf (x0 ) f (x00 )j < (x 6 x0 6 x00 6 x + r):
2(b a)

The sets [x; x + r] of this type form a Vitali cover of X: With the aid
of the Vitali covering theorem, construct a partition P of I such that
U (P; f ) L(P; f ) < ": This provides an alternative proof of one half of
Theorem 23.

9 The Fundamental Theorem of Calculus

Our aim in this nal section is to prove the following version of the fundamental
theorem of calculus.

Theorem 47 Let f be summable, and dene F : R ! R by

Z x
F (x) = f:
1

Then F 0 (x) = f (x) almost everywhere.

65
 In order to prove this theorem, we rst prove it in the case where f is
bounded.

Lemma 48 Let f and F be as in the statement of Theorem 47, and suppose

that f is bounded on R: Then F 0 (x) = f (x) almost everywhere.

Proof. Let c be a bound for jf j on R: We may assume that f > 0: Then F is

an increasing function on R: It follows from Theorem 45 that F is dierentiable
almost everywhere. For each positive integer n and each x 2 R set

1
Fn (x) = F x+
n

and Z 1
x+ n
fn (x) = n (Fn (x) F (x)) = n f:
x
Note that Z 1
x+ n
fn (x) 6 n c=c
x

for all x in the domain of f: Now, by Exercise (2.7, 5), F is continuous; so both
Fn and fn are continuous and therefore, by Exercise (5.1, 3), measurable. For
all a; b with a < b; since fn (x) ! F 0 (x) almost everywhere on [a; b], we see from
Lebesgues dominated convergence theorem that F 0 [a;b] is summable and that
for each x 2 [a; b] ;
Z x Z x
F 0 = lim fn
a n!1 a
Z x
1
= lim n t F t+ F (t)
n!1 a n
Z 1 Z !
x+ n x
= lim n F F
n!1 1 1
Z 1
x+ n
= lim n F
n!1 x
= F (x);

where the second last step uses translation invariance (Exercise (2.3, 4)) and the
nal line follows from Exercise (4.1, 3). Hence
Z x
(F 0 f ) = 0 (x 2 [a; b]) :
a

It follows from Exercise (2.7, 6) that F 0 (x) = f (x) almost everywhere on [a; b] :
A by-now-standard argument shows that F 0 (x) = f (x) almost everywhere, and
completes the proof.

66
 We now give the proof of the fundamental theorem of calculus.

Proof. Under the hypotheses of Theorem 47, we may assume without loss
of generality that f > 0: For each positive integer n and each x 2 R dene
Z x
Fn (x) = (f min ff; ng) :
1

Since f min ff; ng > 0; we see that Fn is an increasing function on R and

so, by Theorem 45, has a nonnegative derivative almost everywhere. On the
other hand, since 0 6 min ff (x); ng 6 n almost everywhere on R; the preceding
lemma shows that
Z x
d
min ff; ng = min ff (x); ng a.e.
dx 1

Hence
Z x
d d
F 0 (x) = Fn + min ff; ng > min ff (x); ng a:e:
dx dx 1

Letting n ! 1; and recalling that a countable union of null sets is null, we

conclude that F 0 (x) > f (x) almost everywhere. In view of this and Theorem
45, we see that for each positive integer k;
Z k Z k Z k
F0 > f = F (k) F ( k) > F 0:
k k k

Thus Z
(F 0 f) [ k;k] = 0:

Since (F 0 f ) [ k;k]] > 0 almost everywhere; it follows that (F 0 f ) [ k;k] =

0; and therefore F 0 [ k;k] = f [ k;k] ; almost everywhere. Since the union of a
sequence of null sets is null, we conclude that F 0 = f almost everywhere.

Under what conditions is a given function F : [a; b] ! R an indenite

integral
Rx that is, when does there exist a summable function f such that F (x) =
a
f a.e. on [a; b]?

Proposition 49 Let f be a summable function, and let a < b: Then the indef-
inite integral Z x
F (x) = f
a

denes an absolutely continuous function on [a; b] :

Proof. Let " > 0: By Exercise (5.3, 4), there

R exists > 0 such that if
n
A is an integrable set with (A) < ; then A jf j < ": Let ([ak ; bk ])k=1 be

67
a nite collection of non-overlapping compact subintervals of [a; b] such that
[n
Pn
(bk ak ) < ; and let A = [ak ; bk ] : Then (A) < ; so
k=1 k=1

n
X n Z
X bk
jF (bk ) F (ak )j = f
k=1 k=1 ak
n
X bkZ Z
6 jf j = jf j < ":
k=1 ak A

Conversely, we have
Proposition 50 Let F be an absolutely continuous mapping on a compact in-
terval I = [a; b] : Then there exists a summable function f such that
Z x
F (x) F (a) = f (x 2 I) :
a

Proof. Being absolutely continuous, F has bounded variation, by Exercise

(8.4, 7); so, by Exercise (8.4, 6), there exist increasing functions F1 ; F2 such
that F = F1 F2 : Referring to Theorem 45, we see that F is dierentiable
almost everywhere, F 0 is summable over [a; b] ; jF 0 (x)j 6 F10 (x) + F20 (x) almost
everywhere;,and
Z b
jF 0 j 6 F1 (b) + F2 (b) F1 (a) F2 (a):
a

Let Z x
G(x) = F0 (a 6 x 6 b) :
a
Then G is absolutely continuous, by Proposition 49, as is the function F G: By
the fundamental theorem of calculus, F 0 (x) G0 (x) = 0 almost everywhere on
[a; b] : It follows from Exercise (8.5, 2) that F G is constant on [a; b] ; whence
Z x
F (x) F (a) = G(x) G(a) = F 0;
a

which reduces to the desired property of F if we take f = F 0 :

The function F : [0; 1] ! R discussed in Exercise (8.5, 5) is shown there

to be neither absolutely continuous nor (inevitably, in view of the preceding
theorem) an indenite integral. Moreover, according to that exercise, F 0 (x) = 0
almost everywhere on [0; 1] and
Z 1
F 0 = 0 < F (1) F (0):
0

68
Appendix: The axiom of choice
In the early years of this century it was recognised that the following principle,
the axiom of choice, was necessary for the proofs of several important theorems
in mathematics.

AC If F is a nonempty family of pairwise disjoint nonempty sets, then there

exists a set that intersects each member of F in exactly one element.

In particular, Zermelo used this axiom explicitly in his proof that every set S
can be well ordered that is, there is a total partial order > on S with respect
to which every nonempty subset of X has a least element [13]. It was shown
by Gdel [5] in 1939 that the axiom of choice is consistent with the axioms of
ZermeloFraenkel set theory (ZF), in the sense that the axiom can be added
to ZF without leading to a contradiction, and by Cohen [4] in 1963 that the
negation of the axiom of choice is also consistent with ZF. Thus the axiom of
choice is independent of ZF: it can be neither proved nor disproved without
adding some extra principles to ZF.
The axiom of choice is commonly used in an equivalent form (the one we
used in the construction of a non-measurable set):

AC0 If A and B are nonempty sets, S A B; and for each x 2 A there

exists y 2 B such that (x; y) 2 S; then there exists a function f : A ! B
called a choice function for S such that (x; f (x)) 2 S for each x 2 A:

To prove the equivalence of these two forms of the axiom of choice, rst assume
that the original version AC of the axiom holds, and consider nonempty sets
A; B and a subset S of A B such that for each x 2 A there exists y 2 B with
(x; y) 2 S: For each x 2 A let

Fx = fxg fy 2 B : (x; y) 2 Sg :

Then F = (Fx )x2A is a nonempty family of pairwise disjoint sets, so, by AC,
there exists a set C that has exactly one element in common with each Fx : We
now dene the required choice function f : A ! B by setting

(x; f (x)) = the unique element of C \ Fx

for each x 2 A:
Now assume that the alternative form AC0 of the axiom of choice holds, and
consider a nonempty family F of pairwise disjoint nonempty sets. Taking

A = F;
[
B= X;
X2F
S = f(X; x) : X 2 F; x 2 Xg

69
in AC0 , we obtain a function
[
f :F ! X
X2F

such that f (X) 2 X for each X 2 F. The range of f is then a set that has
exactly one element in common with each member of F:
There are two other choice principles that are widely used in analysis. The
rst of these, the principle of countable choice, is the case A = N of AC0 .
The second is the principle of dependent choice:

If a 2 A, S A A; and for each x 2 A there exists y 2 A such

that (x; y) 2 S; then there exists a sequence (an )n>1 in A such that
a1 = a and (an ; an+1 ) 2 S for each n:

It is a good exercise to show that the axiom of choice entails the principle of
dependent choice, and that the principle of dependent choice entails the principle
of countable choice. Since the last two principles can be derived as consequences
of the axioms of ZF, they are denitely weaker than the axiom of choice.
For a fuller discussion of axioms of choice and related matters, see the article
by Jech on pages 345370 of [2].

70
References
[1] E. Asplund and L. Bungart, A First Course in Integration, Holt, Rinehart
& Winston, New York, 1966.

[2] J. Barwise, Handbook of Mathematical Logic, North-Holland, Amsterdam,

1977.
[3] D.S. Bridges, Foundations of Real and Abstract Analysis, Graduate Texts
in Mathematics 174, Springer-Verlag, Heidelberg, 1998.

[4] P.J. Cohen, Set Theory and the Continuum Hypothesis, W.A. Benjamin,
Inc., New York, 1966.
[5] K. Gdel, The Consistency of the axiom of choice and the Generalized Con-
tinuum Hypothesis with the Axioms of Set Theory, Annals of Mathematics
Studies 3, Princeton University Press, Princeton, NJ, 1940.
[6] P.R. Halmos, Measure Theory, Graduate Texts in Mathematics 18,
Springer-Verlag, Heidelberg, 1974.
[7] H. Lebesgue, Intgrale, longueur, aire, Annali di Mat. (3) 7, 231259,
1902.
[8] H. Lebesgue, Leons sur lintgration et la recherche des fonctions primi-
tives, Gauthier-Villars, Paris, 1904.
[9] F. Riesz, Sur lintgrale de Lebesgue comme lopration inverse de la dri-
vation, Ann. Scuola Norm. Sup. Pisa (2)5, 191212, 1936.
[10] F. Riesz and B. Sz.-Nag, Functional Analysis, Frederick Ungar, New York,
1955; reprinted in paperback by Dover Publications Inc., New York, 1990.
[11] H.L. Royden, Real Analysis (3rd edn), Macmillan Publ. Co., New York,
1988.
[12] Walter Rudin, Real and Complex Analysis, McGraw-Hill, New York, 1970.
[13] E. Zermelo, Beweis, dass jede Menge wohlgeordnet werden kann, Math.
Annalen 59, 514516, 1904.

c Douglas S. Bridges 120106

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